Up to 1000000 EUR Certificates linked to the BNP Paribas

Transcription

PROSPECTUS
DATED 8 October 2015
BNP Paribas Arbitrage Issuance B.V.
(incorporated in The Netherlands)
(as Issuer)
BNP Paribas
(incorporated in France)
(as Guarantor)
Up to 1,000,000 EUR Certificates
linked to the BNP Paribas MultiAsset D Index due 7 December 2020 (Series CE2850PRI)
under the
Note, Warrant and Certificate Programme
BNP Paribas Arbitrage S.N.C.
(as Manager)
This document (the "Prospectus") constitutes a prospectus for the purposes of Directive 2003/71/EC, as amended by Directive 2010/73/EU (the
"Prospectus Directive"). This Prospectus contains information relating to the issue by BNP Paribas Arbitrage Issuance B.V. (the "Issuer" or "BNPP
B.V.") of up to 1,000,000 EUR Certificates linked to the BNP Paribas MultiAsset D Index due 7 December 2020 (the "Securities") under the Note,
Warrant and Certificate Programme (the "Programme") benefiting from a BNPP English law guarantee for unsecured W&C Securities (the
"Guarantee") granted by BNP Paribas (the "Guarantor" or "BNPP") and has been prepared in accordance with Article 5(3) of the Prospectus
Directive. This Prospectus incorporates by reference, inter alia, the Base Prospectus (as defined herein) relating to the Programme. See for further details
the section "Documents Incorporated by Reference".
Application has been made to the Autorité des marchés financiers ("AMF") in France for approval of this Prospectus in its capacity as competent
authority pursuant to Article 212.2 of its Règlement Général which implements the Prospectus Directive.
Application will be made for the Securities to be admitted to trading on the Multilateral Trading Facility EuroTLX (managed by EuroTLX SIM S.p.A.)
and Euronext Paris. Euronext Paris is a regulated market for the purposes of the Markets in Financial Instruments Directive 2004/39/EC (a "Regulated
Market"). The Issuer is not a sponsor of, nor is it responsible for, the admission and trading of the Securities on the EuroTLX and Euronext Paris and no
assurance can be given that any such application will be successful.
The issue of the Securities will entitle the holder thereof to receive a cash amount (if any) calculated in accordance with the Economic Terms and
Conditions set out below, all as set forth herein and in the Economic Terms and Conditions.
Capitalised terms used in this Prospectus shall, unless otherwise defined, have the meanings set forth in the Base Prospectus.
Prospective purchasers of Securities should ensure that they understand the nature of the Securities and the extent of their exposure to risks and
that they consider the suitability of the Securities as an investment in the light of their own circumstances and financial condition. The Securities
involve a high degree of risk and potential investors should be prepared to sustain a total loss of the purchase price of their Securities. See "Risk
Factors" on page 57.
In particular, the Securities and the Guarantee (as defined herein) have not been, and will not be, registered under the United States Securities
Act of 1933, as amended (the "Securities Act"), or any state securities laws and trading in the Securities has not been approved by the
Commodity Futures Trading Commission under the United States Commodity Exchange Act, as amended. The Issuer has not registered as an
investment company pursuant to the United States Investment Company Act of 1940, as amended (the "Investment Company Act"). The
Securities are being offered and sold in reliance on Regulation S under the Securities Act. The Securities, or interests therein, may not at any
time be offered, sold, resold, traded, pledged, exercised, redeemed, transferred or delivered, directly or indirectly, in the United States or to, or
for the account or benefit of, a U.S. person (as defined in Regulation S under the Securities Act) and any offer, sale, resale, trade, pledge,
exercise, redemption, transfer or delivery made, directly or indirectly, within the United States or to, or for the account or benefit of, a U.S.
person will not be recognised. The Securities may not be legally or beneficially owned at any time by any U.S. person (as defined in the "Offering
and Sale" section incorporated by reference) and accordingly are being offered and sold outside the United States to non-U.S. persons in reliance
on Regulation S.
BNPP's long-term credit ratings are A+ with a negative outlook (Standard & Poor's Credit Market Services France SAS ( "Standard & Poor's")), A1
with a stable outlook (Moody's Investors Service Ltd. ("Moody's")) and A+ with a stable outlook (Fitch France S.A.S. ("Fitch France")) and BNPP's
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short-term credit ratings are A-1 (Standard & Poor's), P-1 (Moody's) and F1 (Fitch France). BNPP B.V.’s long term credit ratings are A+ with a negative
outlook (Standard & Poor's) and BNPP B.V.'s short term credit ratings are A-1 (Standard & Poor's). Each of Standard & Poor's, Moody's and Fitch France
is established in the European Union and is registered under the Regulation (EC) No. 1060/2009 (as amended) (the "CRA Regulation"). As such each of
Standard & Poor's, Moody's and Fitch France is included in the list of credit rating agencies published by the European Securities and Markets Authority
on its website (at http://www.esma.europa.eu/page/List-registered-and-certified-CRAs) in accordance with the CRA Regulation. Securities issued under
the Prospectus are not rated. A security rating is not a recommendation to buy, sell or hold securities and may be subject to suspension, reduction or
withdrawal at any time by the assigning rating agency.
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No person is or has been authorised to give any information or to make any representation not contained in or
not consistent with this document or any other information supplied in connection with the Prospectus or the
Securities and, if given or made, such information or representation must not be relied upon as having been
authorised by BNPP B.V., BNPP or the Manager. This document does not constitute, and may not be used for
the purposes of, an offer or solicitation by anyone in any jurisdiction in which such offer or solicitation is not
authorised or to any person to whom it is unlawful to make such offer or solicitation and no action is being taken
to permit an offering of the Securities or the distribution of this document in any jurisdiction where any such
action is required.
This document is to be read and construed in conjunction with all documents which are deemed to be
incorporated herein by reference (see "Documents Incorporated by Reference" below). This Prospectus shall be
read and construed on the basis that such documents are so incorporated and form part of this Prospectus.
Information contained in this Prospectus which is sourced from a third party has been accurately reproduced
and, as far as the Issuer is aware and is able to ascertain from information published by the relevant third party,
no facts have been omitted which would render the reproduced information inaccurate or misleading.
The Manager has not independently verified the information contained herein. Accordingly, no representation,
warranty or undertaking, express or implied, is made and no responsibility is accepted by the Manager as to the
accuracy or completeness of the information contained in this Prospectus or any other information provided by
BNPP B.V. and/or BNPP in connection with the Securities. The Manager accepts no liability in relation to the
information contained in this Prospectus or any other information provided by BNPP B.V. and BNPP in
connection with the Programme or the Securities.
In connection with the issue and sale of Securities, neither BNPP B.V. nor its Affiliates will, unless agreed to
the contrary in writing, act as a financial adviser to any Holder.
Neither this Prospectus nor any other information supplied in connection with the Programme or the Securities
(a) is intended to provide the basis of any credit or other evaluation or (b) should be considered as a
recommendation by BNPP B.V. or BNPP that any recipient of this Prospectus or any other information supplied
in connection with the Programme or the Securities should purchase the Securities. Each investor
contemplating purchasing the Securities should make its own independent investigation of the financial
condition and affairs, and its own appraisal of the creditworthiness, of BNPP B.V. and BNPP. Neither this
Prospectus nor any other information supplied in connection with the Programme or the issue of the Securities
constitutes an offer or an invitation by or on behalf of BNPP B.V. and/or BNPP or any other person to subscribe
for or to purchase the Securities.
The delivery of this Prospectus does not at any time imply that the information contained herein concerning
BNPP B.V. and/or BNPP is correct at any time subsequent to the date hereof or that any other information
supplied in connection with the Securities and/or the Programme is correct as of any time subsequent to the date
indicated in the document containing the same. The Manager does not undertake to review the financial
condition or affairs of BNPP B.V. and BNPP during the life of the Securities. Investors should review, inter
alia, the most recently published audited annual non-consolidated financial statements and interim financial
statements of BNPP B.V. and the most recently published audited annual consolidated financial statements,
unaudited semi-annual interim consolidated financial statements and quarterly financial results of BNPP, when
deciding whether or not to purchase the Securities.
ARRANGEMENTS BETWEEN INVESTORS AND AUTHORISED OFFEROR
AN INVESTOR INTENDING TO PURCHASE OR PURCHASING ANY CERTIFICATES IN A NONEXEMPT OFFER FROM AN AUTHORISED OFFEROR WILL DO SO, AND OFFERS AND SALES OF
SUCH CERTIFICATES TO AN INVESTOR BY SUCH AUTHORISED OFFEROR WILL BE MADE, IN
ACCORDANCE WITH THE TERMS AND CONDITIONS OF THE OFFER IN PLACE BETWEEN SUCH
AUTHORISED OFFEROR AND SUCH INVESTOR INCLUDING ARRANGEMENTS IN RELATION TO
PRICE, ALLOCATIONS, EXPENSES AND SETTLEMENT. THE ISSUER WILL NOT BE A PARTY TO
ANY SUCH ARRANGEMENTS WITH SUCH INVESTORS IN CONNECTION WITH THE NON-EXEMPT
OFFER OR SALE OF THE CERTIFICATES CONCERNED AND, ACCORDINGLY, THIS PROSPECTUS
WILL NOT CONTAIN SUCH INFORMATION. THE RELEVANT INFORMATION WILL BE PROVIDED
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BY THE AUTHORISED OFFEROR AT THE TIME OF SUCH OFFER. NEITHER THE ISSUER NOR THE
MANAGER (EXCEPT WHERE SUCH MANAGER IS THE RELEVANT AUTHORISED OFFEROR) HAS
ANY RESPONSIBILITY OR LIABILITY TO AN INVESTOR IN RESPECT OF THE INFORMATION
DESCRIBED ABOVE.
This Prospectus does not constitute, and may not be used for or in connection with, an offer to any person to
whom it is unlawful to make such offer or a solicitation by anyone not authorised so to act.
The distribution of this Prospectus and the offer or sale of the Securities may be restricted by law in certain
jurisdictions. Persons into whose possession this Prospectus or any Securities come must inform themselves
about, and observe, any such restrictions. In particular, there are restrictions on the distribution of this
Prospectus and the offer or sale of the Securities in the European Economic Area (the "EEA") (and certain
member states thereof), Japan and the United States (see "Offering and Sale" in the Base Prospectus
incorporated herein by reference).
The Securities have not been and will not be registered under the United States Securities Act of 1933, as
amended (the "Securities Act"), or with any securities regulatory authority of any state or jurisdiction of the
United States, and the Securities are subject to U.S. tax law requirements. Subject to certain exceptions,
Securities may not be offered, sold or, in the case of Bearer Securities, delivered within the United States or to,
or for the account or benefit of, U.S. persons, as defined in Regulation S under the Securities Act ( "Regulation
S") (see "Offering and Sale" in the Base Prospectus incorporated herein by reference).
This Prospectus has been prepared on the basis that, except for the Republic of Italy, any offer of Securities in
any Member State of the European Economic Area which has implemented the Prospectus Directive (each, a
"Relevant Member State") will be made pursuant to an exemption under the Prospectus Directive, as
implemented in that Relevant Member State, from the requirement to publish a prospectus for offers of
Securities.
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FORWARD-LOOKING STATEMENTS
The documents incorporated by reference (such sections being the "BNP Paribas Disclosure"), contain
forward-looking statements. BNP Paribas and BNPP B.V. and the BNP Paribas Group (being BNP Paribas
together with its consolidated subsidiaries, the "Group") may also make forward-looking statements in their
audited annual financial statements, in their interim financial statements, in their offering circulars, in press
releases and other written materials and in oral statements made by their officers, directors or employees to third
parties. Statements that are not historical facts, including statements about BNPP, BNPP B.V. or the Group's
beliefs and expectations, are forward-looking statements. These statements are based on current plans, estimates
and projections, and therefore undue reliance should not be placed on them. Forward-looking statements speak
only as of the date they are made, and BNPP, BNPP B.V. and the Group undertake no obligation to update
publicly any of them in light of new information or future events.
PRESENTATION OF FINANCIAL INFORMATION
Most of the financial data presented, or incorporated by reference, in this Prospectus are presented in euros.
The audited consolidated financial statements of BNPP for the years ended 31 December 2013 and
31 December 2014 have been prepared in accordance with International Financial Reporting Standards
("IFRS"), as adopted by the European Union. IFRS differs in certain significant respects from generally
accepted accounting principles in the United States ("U.S. GAAP"). The Group has made no attempt to
quantify the impact of those differences. In making an investment decision, investors must rely upon their own
examination of the BNP Paribas Group, the terms of an offering and the financial information. Potential
investors should consult their own professional advisors for an understanding of the differences between IFRS
and U.S. GAAP, and how those differences might affect the information herein. The Group's fiscal year ends on
31 December and references in the BNPP 2013 Registration Document (in each case, as defined in "Documents
Incorporated by Reference" below) and the BNPP 2014 Registration Document (in each case, as defined in
"Documents Incorporated by Reference" below) and any update to the BNPP 2014 Registration Document (in
each case, as incorporated by reference herein) to any specific fiscal year are to the 12-month period ended
31 December of such year.
Due to rounding, the numbers presented throughout the BNP Paribas Disclosure and in the table under the
heading "Capitalisation of BNPP and the BNP Paribas Group" in the General Information section below may
not add up precisely, and percentages may not reflect precisely absolute figures.
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TABLE OF CONTENTS
Page
FORWARD-LOOKING STATEMENTS.............................................................................................................. 5
PRESENTATION OF FINANCIAL INFORMATION ......................................................................................... 5
ENGLISH VERSION OF THE SUMMARY OF THE PROSPECTUS ................................................................ 7
FRENCH VERSION OF THE SUMMARY OF THE PROSPECTUS ............................................................... 30
RISK FACTORS .................................................................................................................................................. 55
DOCUMENTS INCORPORATED BY REFERENCE ....................................................................................... 56
ECONOMIC TERMS AND CONDITIONS........................................................................................................ 65
DESCRIPTION OF BNP PARIBAS MULTIASSET D INDEX......................................................................... 78
DESCRIPTION OF THE DYNAMIC BASKET – ALLOCATION ALGORITHM........................................... 82
DESCRIPTION OF FEES.................................................................................................................................... 84
USE OF PROCEEDS ........................................................................................................................................... 87
GENERAL INFORMATION............................................................................................................................... 88
RESPONSIBILITY STATEMENT...................................................................................................................... 93
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ENGLISH VERSION OF THE SUMMARY OF THE PROSPECTUS
Summaries are made up of disclosure requirements known as "Elements". These Elements are numbered in
Sections A – E (A.1 – E.7). This Summary contains all the Elements required to be included in a summary for
this type of Securities, Issuer and Guarantor. Because some Elements are not required to be addressed, there
may be gaps in the numbering sequence of the Elements. Even though an Element may be required to be
inserted in the summary because of the type of Securities, Issuer and Guarantor, it is possible that no relevant
information can be given regarding the Element. In this case a short description of the Element should be
included in the summary explaining why it is not applicable.
Section A - Introduction and warnings
Element
Title
A.1
Warning that the
summary should
be read as an
introduction and
provision as to
claims
A.2
Consent as to use
the Prospectus,
period of validity
and other
conditions
attached
•
This summary should be read as an introduction to the
Prospectus of BNPP B.V. dated 8 October 2015 (the
"Prospectus").
•
Any decision to invest in any Securities should be based on a
consideration of the Prospectus as a whole, including any
documents incorporated by reference.
•
Where a claim relating to information contained in the
Prospectus is brought before a court in a Member State of the
European Economic Area, the plaintiff may, under the national
legislation of the Member State where the claim is brought, be
required to bear the costs of translating the Prospectus before
the legal proceedings are initiated.
•
No civil liability will attach to the Issuer or the Guarantor in any
such Member State solely on the basis of this summary,
including any translation hereof, unless it is misleading,
inaccurate or inconsistent when read together with the other
parts of the Prospectus or, following the implementation of the
relevant provisions of Directive 2010/73/EU in the relevant
Member State, it does not provide, when read together with the
other parts of the Prospectus, key information (as defined in
Article 2.1(s) of the Prospectus Directive) in order to aid
investors when considering whether to invest in the Securities.
Consent: Subject to the conditions set out below, the Issuer consents to the
use of the Prospectus in connection with a Non-exempt Offer of Securities by
BNP Paribas Arbitrage S.N.C. (the "Manager") and Banca Nazionale del
Lavoro S.p.A. (the "Authorised Offeror").
Offer period: The Issuer's consent referred to above is given for Non-exempt
Offers of Securities during the period from, and including, 12 October 2015
to, and including, 25 November 2015 (the "Offer Period").
Conditions to consent: The conditions to the Issuer’s consent are that such
consent (a) is only valid during the Offer Period; and (b) only extends to the
use of the Prospectus to make Non-exempt Offers of the relevant Tranche of
Securities in the Republic of Italy.
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Element
Title
AN INVESTOR INTENDING TO PURCHASE OR PURCHASING
ANY SECURITIES IN A NON-EXEMPT OFFER FROM AN
AUTHORISED OFFEROR WILL DO SO, AND OFFERS AND SALES
OF SUCH SECURITIES TO AN INVESTOR BY SUCH AUTHORISED
OFFEROR WILL BE MADE, IN ACCORDANCE WITH THE TERMS
AND CONDITIONS OF THE OFFER IN PLACE BETWEEN SUCH
AUTHORISED OFFEROR AND SUCH INVESTOR INCLUDING
ARRANGEMENTS IN RELATION TO PRICE, ALLOCATIONS,
EXPENSES AND SETTLEMENT. THE RELEVANT INFORMATION
WILL BE PROVIDED BY THE AUTHORISED OFFEROR AT THE
TIME OF SUCH OFFER.
Section B - Issuer and Guarantor
Element
Title
B.1
Legal and
commercial
name of the
Issuer
BNP Paribas Arbitrage Issuance B.V. ("BNPP B.V." or the "Issuer").
B.2
Domicile/
legal form/
legislation/
country of
incorporation
The Issuer was incorporated in the Netherlands as a private company with
limited liability under Dutch law having its registered office at Herengracht 537,
1017 BV Amsterdam, the Netherlands.
B.4b
Trend
Information
BNPP B.V. is dependent upon BNPP. BNPP B.V. is a wholly owned subsidiary
of BNPP specifically involved in the issuance of securities such as Notes,
Warrants or Certificates or other obligations which are developed, setup and
sold to investors by other companies in the BNPP Group (including BNPP). The
securities are hedged by acquiring hedging instruments from BNP Paribas and
BNP Paribas entities as described in Element D.2 below. As a consequence, the
Trend Information described with respect to BNPP shall also apply to BNPP
B.V.
B.5
Description of
the Group
BNPP B.V. is a wholly owned subsidiary of BNP Paribas. BNP Paribas is the
ultimate holding company of a group of companies and manages financial
operations for those subsidiary companies (together the "BNPP Group" or the
"Group")
B.9
Profit forecast
or estimate
The Group's 2014-2016 business development plan confirms the universal bank
business model. The goal of the 2014-2016 business development plan is to
support clients in a changing environment.
The Group has defined the five following strategic priorities for 2016:
•
enhance client focus and services
•
simple: simplify our organisation and how we operate
•
efficient: continue improving operating efficiency
8
Element
Title
•
adapt certain businesses to their economic and regulatory environment
•
implement business development initiatives
BNPP continues to implement its 2014-2016 development plan in a low interest
context and has to take into account additional taxes and regulations.
B.10
Audit report
qualifications
Not applicable, there are no qualifications in any audit report on the historical
financial information included in the Prospectus.
B.12
Selected historical key financial information:
Comparative Annual Financial Data - In EUR
31/12/2014
31/12/2013
Revenues
432,263
397,608
Net income, Group share
29,043
26,749
64,804,833,465
48,963,076,836
445,206
416,163
Total balance sheet
Shareholders’ equity (Group share)
Comparative Interim Financial Data - In EUR
30/06/2015
30/06/2014
Revenues
158,063
218,961
10,233
14,804
30/06/2015
31/12/2014
51,184,742,227
64,804,833,465
455,439
445,206
Total balance sheet
Statements of no significant or material adverse change
There has been no significant change in the financial or trading position of the BNPP Group since
30 June 2015 (being the end of the last financial period for which interim financial statements
have been published). There has been no material adverse change in the prospects of BNPP or the
BNPP Group since 31 December 2014 (being the end of the last financial period for which audited
financial statements have been published).
There has been no significant change in the financial or trading position of BNPP B.V. since 30
June 2015 and there has been no material adverse change in the prospects of BNPP B.V. since 31
December 2014.
B.13
Events
impacting the
Issuer's
solvency
As at 8 October 2015 and to the best of the Issuer's knowledge, there have not
been any recent events which are to a material extent relevant to the evaluation
of the Issuer's solvency since 30 June 2015.
B.14
Dependence
upon other
group entities
The Issuer is dependent upon BNPP and other members of the BNPP Group.
See also Element B.5 above.
9
Element
Title
BNPP B.V. is a wholly owned subsidiary of BNPP specifically involved in the
issuance of securities such as Notes, Warrants or Certificates or other
obligations which are developed, setup and sold to investors by other companies
in the BNPP Group (including BNPP). The securities are hedged by acquiring
hedging instruments from BNP Paribas and BNP Paribas entities as described in
Element D.2 below.
B.15
Principal
activities
The principal activity of the Issuer is to issue and/or acquire financial
instruments of any nature and to enter into related agreements for the account of
various entities within the BNPP Group.
B.16
Controlling
shareholders
BNP Paribas holds 100 per cent. of the share capital of the Issuer.
B.17
Solicited credit
ratings
BNPP B.V.’s long term credit ratings are A+ with a negative outlook (Standard
& Poor’s Credit Market Services France SAS) and BNPP B.V.'s short term
credit ratings are A-1 (Standard & Poor's Credit Market Services France SAS).
The Securities have not been rated.
A security rating is not a recommendation to buy, sell or hold securities and may
be subject to suspension, reduction or withdrawal at any time by the assigning
rating agency.
B.18
Description of
the Guarantee
The Securities will be unconditionally and irrevocably guaranteed by BNP
Paribas ("BNPP" or the "Guarantor") pursuant to an English law deed of
guarantee executed by BNPP on 9 June 2015 (the "Guarantee").
In the event of a bail-in of BNPP B.V. but not BNPP, the obligations and/or
amounts owed by BNPP under the guarantee shall be reduced to reflect any such
reduction or modification resulting from the application of a bail-in of BNPP
B.V. by a relevant regulator.
In the event of a bail-in of BNPP but not BNPP B.V., the obligations and/or
amounts owed by BNPP under the guarantee shall be reduced to reflect any such
modification or reduction applied to securities issued by BNPP resulting from
the application of a bail-in of BNPP by any relevant regulator.
The obligations under the guarantee are direct unconditional, unsecured and
unsubordinated obligations of BNPP and rank and will rank pari passu among
themselves and at least pari passu with all other direct, unconditional, unsecured
and unsubordinated indebtedness of BNPP (save for statutorily preferred
exceptions).
B.19
Information
about the
Guarantor
B.19/ B.1
Legal and
commercial
name of the
Guarantor
BNP Paribas.
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Element
Title
B.19/ B.2
Domicile/
legal form/
legislation/
country of
incorporation
The Guarantor was incorporated in France as a société anonyme under French
law and licensed as a bank having its head office at 16, boulevard des Italiens –
75009 Paris, France.
B.19/
B.4b
Trend
information
Macroeconomic risk
Macroeconomic and market conditions affect BNPP’s results. The nature of
BNPP’s business makes it particularly sensitive to macroeconomic and market
conditions in Europe, which have been difficult and volatile in recent years.
In 2014, the global economy continued its slow recovery but there remain
uncertainties, in particular in Europe where the economic performance during
the second half of 2014 was weaker than expected. IMF and OECD1 economic
forecasts for 2015 indicate a continuation of moderate growth in developed
economies but with differences between countries, including in the euro-zone,
where growth is forecast to be weak in certain countries (including France and
Italy). The forecast is similar for emerging markets (i.e., moderate growth but
with areas of weakness). Short term risks to macroeconomic growth highlighted
by the IMF include heightened geopolitical tensions and increased financial
market volatility; medium-term risks highlighted include weak economic growth
or stagnation in developed countries. Deflation remains a risk in the euro-zone,
although the risk has been reduced through the ECB's announcement of nonconventional policy measures.
Legislation and Regulation Applicable to Financial Institutions.
Laws and regulations applicable to financial institutions that have an impact on
BNPP have significantly evolved. The measures that have been proposed and/or
adopted in recent years include more stringent capital and liquidity requirements
(particularly for large global banking groups such as the BNPP Group), taxes on
financial transactions, restrictions and taxes on employee compensation, limits
on the types of activities that commercial banks can undertake and ring-fencing
or even prohibition of certain activities considered as speculative within separate
subsidiaries, restrictions on certain types of financial products, increased
internal control and reporting requirements, more stringent conduct of business
rules, mandatory clearing and reporting of derivative transactions, requirements
to mitigate risks in relation to over-the-counter derivative transactions and the
creation of new and strengthened regulatory bodies.
The measures that were recently adopted, or that are (or whose implementation
measures are) in some cases proposed and still under discussion, that have
affected or are likely to affect BNPP, include in particular the French Ordinance
of 27 June 2013 relating to credit institutions and financing companies
1
See in particular: International Monetary Fund. World Economic Outlook (WEO) Update, January 2015: Gross Currents;
International Monetary Fund. 2014 ; International Monetary Fund. World Economic Outlook: Legacies, Clouds, Uncertainties.
Washington (October 2014) ; OECD - Putting the Euro area on a road to recovery - C. Mann - 25 November 2014
11
Element
Title
("Sociétés de financement"), which came into force on 1 January 2014, the
French banking law of 26 July 2013 on the separation and regulation of banking
activities and the related implementing decrees and orders and the Ordinance of
20 February 2014 for the adaptation of French law to EU law with respect to
financial matters; the Directive and Regulation of the European Parliament and
of the Council on prudential requirements "CRD 4/CRR" dated 26 June 2013
(and the related delegated and implementing acts) and many of whose
provisions have been applicable since January 1, 2014; the regulatory and
implementing technical standards relating to the Directive and Regulation CRD
4/CRR published by the European Banking Authority; the designation of BNPP
as a systemically important financial institution by the Financial Stability Board
and the consultation for a common international standard on total loss-absorbing
capacity ("TLAC") for global systemically important banks; the public
consultation for the reform of the structure of the EU banking sector of 2013 and
the proposal for a Regulation of the European Parliament and of the Council of
29 January 2014 on structural measures to improve the resilience of EU credit
institutions; the proposal for a Regulation of the European Parliament and of the
Council of 18 September 2013 on indices used as benchmarks in financial
instruments and financial contracts; the Regulation of the European Parliament
and of the Council of 16 April 2014 on market abuse and the Directive of the
European Parliament and of the Council of 16 April 2014 on criminal sanctions
for market abuse; the Directive and the Regulation of the European Parliament
and of the Council on markets in financial instruments of 15 May 2014; the
European Single Supervisory Mechanism led by the European Central Bank
adopted in October 2013 (Council Regulation of October 2013 conferring
specific tasks on the European Central Bank concerning policies relating to the
prudential supervision of credit institutions and the Regulation of the European
Parliament and of the Council of 22 October 2013 establishing a European
Supervisory Authority as regards the conferral of specific tasks on the European
Central Bank (and the related delegated and implementing acts)), as well as the
related French Ordinance of 6 November 2014 for the adaptation of French law
to the single supervisory mechanism of the credit institutions; the Directive of
the European Parliament and of the Council of 16 April 2014 on deposit
guarantee schemes, which strengthens the protection of citizens' deposits in case
of bank failures (and the related delegated and implementing acts); the Directive
of the European Parliament and of the Council of 15 May 2014 establishing a
framework for the recovery and resolution of credit institutions and investment
firms, which harmonizes the tools to address potential bank crises; the Single
Resolution Mechanism adopted by the European Parliament on 15 April 2014
(Regulation of the European Parliament and of the Council of 15 July 2014
establishing uniform rules and a uniform procedure for the resolution of credit
institutions and certain investment firms in the framework of a single resolution
mechanism and a single resolution fund, and the related delegated and
implementing acts), which provides for the establishment of a Single Resolution
Board as the authority in charge of the implementation of the Single Resolution
Mechanism and the establishment of the Single Resolution Fund; the Delegated
Regulation on the provisional system of instalments on contributions to cover
12
Element
Title
the administrative expenditures of the Single Resolution Board during the
provisional period adopted by the European Commission on 8 October 2014, the
implementing Regulation of the Council of 19 December 2014 specifying
uniform conditions for the ex-ante contribution to the Single Resolution Fund;
the U.S. Federal Reserve's final rule imposing enhanced prudential standards on
the U.S. operations of large foreign banks; the "Volcker Rule" imposing certain
restrictions on investments in or sponsorship of hedge funds and private equity
funds and proprietary trading activities of U.S. banks and non-U.S. banks
adopted by the U.S. regulatory authorities in December 2013; and the final U.S.
credit risk retention rule adopted on 22 October 2014. More generally,
regulators and legislators in any country may, at any time, implement new or
different measures that could have a significant impact on the financial system
in general or BNPP in particular.
B.19/B.5
Description of
the Group
BNPP is a European leading provider of banking and financial services and has
four domestic retail banking markets in Europe, namely in Belgium, France,
Italy and Luxembourg. It is present in 75 countries and has almost 188,000
employees, including over 147,000 in Europe. BNPP is the parent company of
the BNP Paribas Group (together the "BNPP Group").
B.19/B.9
Profit forecast
or estimate
The Group's 2014-2016 business development plan confirms the universal bank
business model The goal of the 2014-2016 business development plan is to
support clients in a changing environment.
The Group has defined the five following strategic priorities for 2016:
•
enhance client focus and services
•
simple: simplify our organisation and how we operate
•
efficient: continue improving operating efficiency
•
adapt certain businesses to their economic and regulatory environment
•
implement business development initiatives
BNPP continues to implement its 2014-2016 development plan in a low interest
context and has to take into account new taxes and regulations.
B.19/ B.10
Audit report
qualifications
Not applicable, there are no qualifications in any audit report on the historical
financial information included in the Prospectus.
B.19/ B.12
Selected historical key financial information:
Comparative Annual Financial Data - In millions of EUR
31/12/2014 (audited)
31/12/2013* (audited)
Revenues
39,168
37,286
Cost of risk
(3,705)
(3,643)
157
4,818
*Restated following the application of accounting standards IFRS10, IFRS11 and IAS32.
13
Element
Title
31/12/2014
31/12/2013
10.3%
10.3%
31/12/2014 (audited)
31/12/2013* (audited)
2,077,759
1,810,522
Consolidated loans and receivables
due from customers
657,403
612,455
Consolidated items due to customers
641,549
553,497
89,410
87,433
Common Equity Tier 1 ratio (Basel 3
fully loaded, CRD4)
Total consolidated balance sheet
* Restated following the application of accounting standards IFRS10, IFRS11 and IAS32 revised.
Comparative Interim Financial Data for the six month period ended 30 June 2015 – In
millions of EUR
1H15
1H14*
Revenues
22,144
19,480
Cost of risk
(1,947)
(1,939)
4,203
(2,815)
30/06/2015
31/12/2014*
10.6%
10.3%
2,138,509
2,077,758
Consolidated loans and receivables
due from customers
697,405
657,403
Consolidated items due to customers
687,365
641,549
Shareholders' equity (Group share)
92,078
89,458
Common equity Tier 1 ratio (Basel 3
fully loaded, CRD4)
Total consolidated balance sheet
* Restated according to the IFRIC 21 Interpretation.
Statements of no significant or material adverse change
See Element B.12 above in the case of the BNPP Group.
There has been no material adverse change in the prospects of BNPP since 31 December 2014
(being the end of the last financial period for which audited financial statements have been
published).
B.19/ B.13
Events
impacting the
Guarantor's
As at 8 October 2015 and to the best of the Guarantor's knowledge, there have
not been any recent events which are to a material extent relevant to the
evaluation of the Guarantor's solvency since 30 June 2015.
14
Element
Title
solvency
B.19/ B.14
Dependence
upon other
Group entities
Subject to the following paragraph, BNPP is not dependent upon other members
of the BNPP Group.
In April 2004, BNP Paribas SA began outsourcing IT Infrastructure
Management Services to the BNP Paribas Partners for Innovation (BP²I) joint
venture set up with IBM France at the end of 2003. BP²I provides IT
Infrastructure Management Services for BNP Paribas SA and several BNP
Paribas subsidiaries in France (including BNP Paribas Personal Finance, BP2S,
and BNP Paribas Cardif), Switzerland, and Italy. In mid- December 2011 BNP
Paribas renewed its agreement with IBM France for a period lasting until end2017. At the end of 2012, the parties entered into an agreement to gradually
extend this arrangement to BNP Paribas Fortis as from 2013.
BP²I is under the operational control of IBM France. BNP Paribas has a strong
influence over this entity, which is 50/50 owned with IBM France. The BNP
Paribas staff made available to BP²I make up half of that entity’s permanent
staff, its buildings and processing centres are the property of the Group, and the
governance in place provides BNP Paribas with the contractual right to monitor
the entity and bring it back into the Group if necessary.
ISFS, a fully-owned IBM subsidiary, handles IT Infrastructure Management for
BNP Paribas Luxembourg.
BancWest’s data processing operations are outsourced to Fidelity Information
Services. Cofinoga France’s data processing is outsourced to SDDC, a fullyowned IBM subsidiary.
See also Element B.5 above.
B.19/ B.15
Principal
activities
BNP Paribas holds key positions in its two main businesses:
• Retail Banking and Services, which includes:
• Domestic Markets, comprising:
– French Retail Banking (FRB),
– BNL banca commerciale (BNL bc), Italian retail banking,
– Belgian Retail Banking (BRB),
– Other Domestic Markets activities, including Luxembourg Retail
Banking (LRB);
•
International Financial Services, comprising:
– Europe-Mediterranean,
– BancWest,
– Personal Finance,
– Insurance,
– Wealth and Asset Management;
• Corporate and Institutional Banking (CIB), which includes:
– Corporate Banking,
– Global Markets,
– Securities Services.
B.19/ B.16
Controlling
shareholders
None of the existing shareholders controls, either directly or indirectly, BNPP.
The main shareholders are Société Fédérale de Participations et d'Investissement
("SFPI") a public-interest société anonyme (public limited company) acting on
behalf of the Belgian government holding 10.3% of the share capital as at 31
15
Element
Title
December 2014 and Grand Duchy of Luxembourg holding 1.0% of the share
capital as at 31 December 2014. To BNPP's knowledge, no shareholder other
than SFPI owns more than 5% of its capital or voting rights.
B.19/ B.17
Solicited credit
ratings
BNPP's long term credit ratings are A+ with a negative outlook (Standard &
Poor's Credit Market Services France SAS), A1 with a stable outlook (Moody's
Investors Service Ltd.) and A+ with a stable outlook (Fitch France S.A.S.) and
BNPP's short-term credit ratings are A-1 (Standard & Poor's Credit Market
Services France SAS), P-1 (Moody's Investors Service Ltd.) and F1 (Fitch
France S.A.S.).
A security rating is not a recommendation to buy, sell or hold securities and may
be subject to suspension, reduction or withdrawal at any time by the assigning
rating agency.
Section C – Securities
Element
Title
C.1
Type and
class of
Securities/
ISIN
The Securities are certificates ("Certificates") and are issued in Series. The Series
Number of the Securities is CE2850PRI. The Tranche number is 1.
The issue date of the Certificates is 30 November 2015 (the "Issue Date") and each
Certificate will have a notional amount (the "Notional Amount") of EUR100.
The ISIN is: XS1251223530.
The Common Code is: 125122353.
The Securities are cash settled Securities. Exercise of Certificates applies to the
Certificates.
C.2
Currency
The currency of this Series of Securities is Euro ("EUR").
C.5
Restrictions
on free
transferabili
ty
The Securities will be freely transferable, subject to the offering and selling
restrictions in the United States, the EEA, Austria, Belgium, the Czech Republic,
Denmark, France, Germany, Hungary, Ireland, Portugal, Spain, Sweden, the
Republic of Italy, the Netherlands, Poland, the United Kingdom, Japan and
Australia and under the Prospectus Directive and the laws of any jurisdiction in
which the Securities are offered or sold.
C.8
Rights
attaching to
the
Securities
Securities issued under the Prospectus will have terms and conditions relating to,
among other matters:
Status
The Certificates are issued on an unsecured basis. Securities issued on an unsecured
basis constitute direct, unconditional, unsecured and unsubordinated obligations of
the Issuer and rank and will rank pari passu among themselves and at least pari
passu with all other direct, unconditional, unsecured and unsubordinated
indebtedness of the Issuer (save for statutorily preferred exceptions).
Taxation
The Holder must pay all taxes, duties and/or expenses arising from the exercise and
settlement or redemption of the Securities and/or the delivery or transfer of the
16
Element
Title
Entitlement. The Issuer shall deduct from amounts payable or assets deliverable to
Holders certain taxes and expenses not previously deducted from amounts paid or
assets delivered to Holders, as the Calculation Agent determines are attributable to
the Securities.
Negative pledge
The terms of the Securities will not contain a negative pledge provision.
Events of Default
The terms of the Securities will not contain events of default.
Meetings
The terms of the Securities will contain provisions for calling meetings of holders
of such Securities to consider matters affecting their interests generally. These
provisions permit defined majorities to bind all holders, including holders who did
not attend and vote at the relevant meeting and holders who voted in a manner
contrary to the majority.
Governing law
The Certificates, the English Law Agency Agreement (as amended or
supplemented from time to time), the related Guarantee in respect of the
Certificates and any non-contractual obligations arising out of or in connection with
the Certificates, the English Law Agency Agreement (as amended or supplemented
from time to time) and the Guarantee in respect of the Certificates will be governed
by and shall be construed in accordance with English law.
C.9
Interest/
Redemption
Interest
The Securities do not bear or pay any interest.
Redemption
Unless previously redeemed or cancelled, each Security will be redeemed on 7
December 2020 as set out in Element C.18.
The Securities are subject to Automatic Early Redemption.
If, on any Automatic Early Redemption Valuation Date t, the percentage allocation
(Wt) (as defined in Element C.18) of the Dynamic Basket (as defined in Element
C.18) to the Index is equal to 0 (zero), each Certificate will automatically redeem
early on the corresponding Automatic Early Redemption Date at its Automatic
Early Redemption Amount (as defined in Element C.18).
See Element C.18 below for more details.
The Certificates may be redeemed early on occurrence of an Additional Disruption
Event or an Optional Additional Disruption Event or if performance of the Issuer's
obligations under the Securities and/or any related hedging arrangements becomes
illegal or by reason of force majeure or act of state becomes impossible or
impracticable. The amount payable under the Securities on such cancellation will
be the fair market value of each Security less hedge costs.
17
Element
Title
Representative of Holders of Securities
No representative of the Holders of Securities has been appointed by the Issuer.
Please also refer to item C.8 above for rights attaching to the Securities.
C.10
Derivative
component
in the
interest
payment
Not applicable as there is no interest payable.
C.11
Admission
to Trading
Application is expected to be made by the Issuer (or on its behalf) for the Securities
to be admitted to trading on EuroTLX, which is not a regulated market and
Euronext Paris, which is a regulated market.
C.15
How the
value of the
investment
in the
derivative
securities is
affected by
the value of
the
underlying
assets
The amount payable on redemption is calculated by reference to the BNP Paribas
MultiAsset D Index (Bloomberg page: BNPIMAD) (the "Index" or "Underlying
Reference"). See Elements C.18 and C.20 below.
C.16
Maturity of
the
derivative
Securities
The redemption date of the Securities is 7 December 2020 (the "Redemption
Date").
C.17
Settlement
Procedure
This Series of Securities is cash settled.
The Issuer does not have the option to vary settlement.
C.18
Return on
derivative
securities
See Element C.8 above for the rights attaching to the Securities.
Final Redemption
Unless previously redeemed or purchased and cancelled, each Security entitles its
Holder to receive from the Issuer on the Redemption Date a Cash Settlement
Amount equal to:
[
(
(
)
NA × Max 80 % × Max 100 %; DB Max Final ; DB Final
18
)]
Element
Title
where:
"Banking Day" means any week day except for 25 December and 1 January in any
year.
"Calculation Agent" means BNP Paribas Arbitrage S.N.C.
"Custom Index Business Day" means any Scheduled Custom Index Business Day
on which (a) the level of the Index is calculated and made available and (b) it is a
Custom Index Trading Day.
"Custom Index Trading Day" means, in respect of an Index, any day with respect
to which the Issuer and/or any of its affiliates determines in its sole and absolute
discretion it is able to acquire, establish, re-establish, substitute, maintain, unwind
or dispose of any asset it deems necessary to hedge its obligations in respect of such
Index under the Securities.
"DBFinal" is the Dynamic Basket Value on the Redemption Valuation Date.
"DBMaxFinal" is the highest Dynamic Basket Value on any Custom Index Business
Day from, and including, the Strike Date to, and including, the Redemption
Valuation Date.
"NA" means Notional Amount per Certificate, being EUR 100.
"Dynamic Basket" means the basket comprised of the Index and a notional cash
component where the percentage of the basket allocated to the Index and the
notional cash component shall be determined by the Calculation Agent in
accordance with the Dynamic Basket Value formula.
"Dynamic Basket Value" means the value of the Dynamic Basket on each
Scheduled Custom Index Business Day t ("DBt") calculated by the Calculation
Agent in accordance with the following formula:

ActDays ( t −1 ,t ) 
DB t = DB t −1 ×  1 − Pr otectionFe es ×
 ×
360




Index t

+ (1 − W t −1 )× 1 + Eonia
 W t −1 × Index
t −1


− DB t −1 × RW cos t t −1 − AF ×
t −1 ×
ActDays
ActDays
360
( t −1 , t )
 


( t −1 , t )
360
"ActDays(t-1,t)" is the number of calendar days from, but excluding, the Scheduled
Custom Index Business Day t-1 to, and including, the Scheduled Custom Index
Business Day t.
"DBt" is the Dynamic Basket Value on Scheduled Custom Index Business Day t
with DBt on the Strike Date (DB0) being equal to 99.00%.
"DBt-1" is the Dynamic Basket Value on Scheduled Custom Index Business Day t-1.
"Wt" is the percentage allocation of the Dynamic Basket allocated to the Index on
each Scheduled Custom Index Business Day t calculated in accordance with an
allocation algorithm by the Calculation Agent.
"Wt-1" is the percentage allocation of the Dynamic Basket allocated to the Index on
19
Element
Title
each Scheduled Custom Index Business Day t-1 calculated in accordance with an
allocation algorithm by the Calculation Agent.
"Indext" is the level of the Index as published by the Index Sponsor as determined
by the Calculation Agent in respect of Scheduled Custom Index Business Day t.
"Indext-1" is the level of the Index as published by the Index Sponsor as determined
by the Calculation Agent in respect of Scheduled Custom Index Business Day t-1.
RW cos tt is the rebalancing cost calculated in accordance with the following
formula:
Wt



RW cos t t = TC × abs
Indext DBt −1  where:
 − Wt −1 × Index × DB 
t −1
t 

RW cos t0 = 0 .
"TC" equals 0.04 per cent.
"Protection Fees" is a percentage equal to 0.50 per cent.
"AF" is a percentage equal to 1.15 per cent.
"abs" means absolute value.
"Eoniat-1" is the Euro Overnight Index Average rate published on Reuters page RIC
"EONIA=", on Scheduled Custom Index Business Day t-1, provided that, if no rate
is so published, the rate determined by the Calculation Agent from such other
source as it in its absolute discretion may deem appropriate.
"Scheduled Custom Index Business Day" means any Banking Day on which (a)
the level of the Index is scheduled to be calculated and made available and (b) that
is a Custom Index Trading Day.
"Redemption Valuation Date" means 30 November 2020.
"Strike Date" means 30 November 2015.
Summary of payout on final redemption
If the Certificates are redeemed on the Redemption Date, a Holder will receive in
respect of each Certificate it holds an amount (which will not be less than EUR80)
equal to EUR100 multiplied by the greater of (a) highest value of the Dynamic
Basket (calculated as set out above) (subject to minimum value of 100 per cent.) on
any business day for the Index from, and including, 30 November 2015 to, and
including, the Redemption Valuation Date (which is scheduled to be 30 November
2020) multiplied by 80 per cent. and (b) the value of the Dynamic Basket
(calculated as set out above) on the Redemption Valuation Date.
Automatic Early Redemption
If on any Automatic Early Redemption Valuation Date t, the percentage allocation
(Wt) of the Dynamic Basket to the Index is equal to 0 (zero) (an "Automatic Early
20
Element
Title
Redemption Event"), the Securities will be redeemed early at the Automatic Early
Redemption Amount on the Automatic Early Redemption Date.
The "Automatic Early Redemption Amount" will be equal to:
[ (
(
)
NA × Max 80 % × Max 100 %; DB Max Early ; DB Early
)]
"DBEarly" is the Dynamic Basket Value (as defined above) on the Automatic Early
Redemption Valuation Date.
"DBMaxEarly" is the highest Dynamic Basket Value (as defined above) on any
Custom Index Business Day from, and including, the Strike Date to, and including,
the Automatic Early Redemption Valuation Date.
"NA" means the Notional Amount per Certificate, being EUR 100.
"Automatic Early Redemption Valuation Date" means each Scheduled Custom
Index Business Day from, but excluding, the Strike Date to, but excluding, the
"Automatic Early Redemption Date" means the earlier of the (i) date that is one
calendar month following the Automatic Early Redemption Valuation Date and (ii)
the Redemption Date.
"Redemption Date" means 7 December 2020.
"t" means a Scheduled Custom Index Business Day.
Summary of payout in the event of Automatic Early Redemption
If the Certificates are redeemed on the Automatic Early Redemption Date following
the occurrence of an Automatic Early Redemption Event, a Holder will receive in
respect of each Certificate it holds an amount (which will not be less than EUR80)
equal to EUR100 multiplied by the greater of (a) highest value of the Dynamic
Basket (calculated as set out above) (subject to minimum value of 100 per cent.) on
any business day for the Index from, and including, 30 November 2015 to, and
including, the relevant Automatic Early Redemption Valuation Date on which the
Automatic Early Redemption Event occurs multiplied by 80 per cent. and (b) the
value of the Dynamic Basket (calculated as set out above) on the relevant
Automatic Early Redemption Valuation Date on which the Automatic Early
Redemption Event occurs.
The above provisions are subject to adjustment as provided in the conditions of the
Certificates to take into account events in relation to the Underlying Reference or
the Securities. This may lead to adjustments being made to the Certificates or, in
some cases, the Certificates being terminated early at an early redemption amount.
Fees
A number of fees are payable in connection with the Certificates.
The Manager will pay to the Authorised Offeror a fee equal to a maximum annual
amount of 1.35 per cent of the aggregate notional amount of the Certificates being
issued. The fees payable to the Authorised Offeror are:
- an upfront fee of 1.00 per cent. (which is deducted from the initial value of the
Dynamic Basket); and
21
Element
Title
- a running fee (the "Running Fee") which will be paid quarterly on each Running
Fee Payment Date j for the monitoring of the structure of the Index and Certificates
and is calculated as follows:

"RDFj" means 
RDFD
∑
j
 n = RDFD j −1 +1
AF × ONA n ×
Act ( n − 1, n ) 

360

"RDFDj" is the Running Fee Observation Date j.
"RDFDj-1" is the Running Fee Observation Date preceding the Running Fee
Observation Date j, being the Strike Date for j=1.
"Running Fee Period j" is each Observation Date from, but excluding, RDFDj-1 to,
and including, RDFDj.
"n" is an Observation Date in the Running Fee Period j.
"n-1" is the Observation Date immediately preceding the Observation Date n.
"Act(n-1,n)" is the actual number of calendar days in the period from, but
excluding, n-1 to, and including, n.
"Observation Date" means each Scheduled Custom Index Business Day from, but
excluding, the Strike Date to, and including, the earlier to occur of an Automatic
Early Redemption Valuation Date or the Exercise Date.
"Exercise Date" means 30 November 2020.
" ONAn " means the outstanding Notional Amount on the Observation Date n of
Certificates held by investors other than the Issuer or one of its affiliates, except if
such affiliate is Banca Nazionale del Lavoro S.p.A.
j
Running Fee Observation
Date
Running Fee Payment Date
1
2
3
4
5
6
7
8
9
10
29 February 2016
7 March 2016
31 May 2016
6 June 2016
31 August 2016
5 September 2016
30 November 2016
7 December 2016
28 February 2017
7 March 2017
31 May 2017
7 June 2017
31 August 2017
7 September 2017
30 November 2017
7 December 2017
28 February 2018
7 March 2018
31 May 2018
7 June 2018
22
Element
Title
11
12
13
14
15
16
17
18
19
20
31 August 2018
7 September 2018
30 November 2018
7 December 2018
28 February 2019
7 March 2019
31 May 2019
7 June 2019
30 August 2019
6 September 2019
29 November 2019
6 December 2019
28 February 2020
6 March 2020
29 May 2020
5 June 2020
28 August 2020
4 September 2020
Exercise Date
Redemption Date
In addition, the Protection Fees of 0.50 per cent. per annum are deducted from the
value of the Dynamic Basket on a Scheduled Custom Index Business Day t as
described in the definition of Dynamic Basket Value above.
The Running Fee (as described above) is also deducted from the value of the
Dynamic Basket.
C.19
Final
reference
price of the
Underlying
The final reference price of the Underlying Reference will be determined in
accordance with the valuation mechanics set out in Element C.18 above subject to
the occurrence of certain extraordinary events and adjustments affecting such
underlying asset(s).
C.20
Underlying
The BNP Paribas MultiAsset D Index (the "Index") is a EUR (the "Index
Currency") denominated Index. The objective of the Index is to provide synthetic
exposure to the performance of a basket of Exchange Traded Products ("ETP")
component types including reinvestment of any dividends or distributions thereon
where the weighting of each ETP Component is rebalanced daily in accordance
with a proprietary allocation algorithm aimed at maximizing return for a
predetermined level of risk. The performance of any ETP which is not
denominated in EUR may be converted from its domestic currency into EUR in the
manner described in the rules relating to the Index (the "Index Rules").
The Index is a "Total Return" index. As a consequence, the level of the index
reflects a value assuming reinvestment of all dividends and distributions declared.
In order to control the volatility risks associated with the Index, a volatility control
mechanism is built in. When BNP Paribas Arbitrage S.N.C (the "Index
Calculation Agent") determines that the volatility of the Index has exceeded the
maximum volatility target (the "Maximum Volatility Target") of 10.00%, then the
exposure of the Index to certain of the components of the Index will be reduced and
a corresponding portion of the Index will reference money market assets, with the
aim of maintaining the volatility of the Index below the Maximum Volatility
Target. Transaction costs incurred in these rebalancings due to the volatility control
mechanism will be reflected in the published Index level and are predetermined.
The composition of the Index as of any particular day is available from BNP
Paribas which is the sponsor of the Index (the "Index Sponsor") on request. The
Index Rules and the index methodology governing the Index is available on the
following website: https://indices-globalmarkets.bnpparibas.com/nr/MADTR.pdf
The Index is calculated, maintained, rebalanced and published by the Index
23
Element
Title
Calculation Agent in accordance with the Index Rules.
Information on the Underlying Reference can be obtained from Bloomberg screen
page BNPIMAD.
24
Section D – Risks
Element
Title
D.2
Key risks
regarding
the Issuer
and the
Guarantor
There are certain factors that may affect the Issuer's ability to fulfil its obligations
under the Securities issued under the Prospectus and the Guarantor's obligations
under the Guarantee.
Eleven main categories of risk are inherent in BNPP's activities:
a)
Credit Risk;
b)
Counterparty Credit Risk;
c)
Securitisation;
d)
Market Risk;
e)
Operational Risk;
f)
Compliance and Reputation Risk;
g)
Concentration Risk;
h)
Banking Book Interest Rate Risk;
i)
Strategic and Business Risks;
j)
Liquidity Risk; and
k)
Insurance subscription Risk.
Difficult market and economic conditions have had and may continue to have a
material adverse effect on the operating environment for financial institutions and
hence on BNPP's financial condition, results of operations and cost of risk.
BNPP's access to and cost of funding could be adversely affected by a resurgence of
the euro-zone sovereign debt crisis, worsening economic conditions, rating
downgrades, increases in credit spreads or other factors.
Significant interest rate changes could adversely affect BNPP's revenues or
profitability.
The soundness and conduct of other financial institutions and market participants
could adversely affect BNPP.
BNPP may incur significant losses on its trading and investment activities due to
market fluctuations and volatility.
BNPP may generate lower revenues from brokerage and other commission and feebased businesses during market downturns.
Protracted market declines can reduce liquidity in the markets, making it harder to
sell assets and possibly leading to material losses.
Laws and regulations adopted in response to the global financial crisis may
materially impact BNPP and the financial and economic environment in which it
25
Element
Title
operates.
BNPP is subject to extensive and evolving regulatory regimes in the jurisdictions in
which it operates.
BNPP may incur substantial fines and other administrative and criminal penalties for
non-compliance with applicable laws and regulations.
There are risks related to the implementation of BNPP's strategic plan.
BNPP may experience difficulties integrating acquired companies and may be
unable to realise the benefits expected from its acquisitions.
Intense competition by banking and non-banking operators could adversely affect
BNPP's revenues and profitability.
A substantial increase in new provisions or a shortfall in the level of previously
recorded provisions could adversely affect BNPP's results of operations and financial
condition.
Notwithstanding BNPP's risk management policies, procedures and methods, it
could still be exposed to unidentified or unanticipated risks, which could lead to
material losses.
BNPP's hedging strategies may not prevent losses.
BNPP's competitive position could be harmed if its reputation is damaged.
An interruption in or a breach of BNPP's information systems may result in material
losses of client or customer information, damage to BNPP's reputation and lead to
financial losses.
Unforeseen external events may disrupt BNPP's operations and cause substantial
losses and additional costs.
The following risk factors relate to BNPP B.V.: BNPP B.V. is an operating
company. BNPP B.V.'s sole business is the raising and borrowing of money by
issuing securities such as Notes, Warrants or Certificates or other obligations. BNPP
B.V. has, and will have, no assets other than hedging agreements (OTC contracts
mentioned in the Annual Reports), cash and fees payable to it, or other assets
acquired by it, in each case in connection with the issue of securities or entry into
other obligations related thereto from time to time. BNPP B.V. has a small equity
and limited profit base. The net proceeds from each issue of Securities issued by
BNPP B.V. will become part of the general funds of BNPP B.V. BNPP B.V. uses
such proceeds to hedge its market risk by acquiring hedging instruments from BNP
Paribas and BNP Paribas entities. The ability of BNPP B.V. to meet its obligations
under securities issued by it will depend on the receipt by it of payments under the
relevant hedging agreements. Consequently, Holders of BNPP B.V. Securities will,
subject to the provisions of the relevant Guarantee issued by BNP Paribas, be
exposed to the ability of BNP Paribas and BNP Paribas entities to perform their
obligations under such hedging agreements.
D.3
Key risks
regarding
the
Securities
There are certain factors which are material for the purposes of assessing the market
risks associated with Securities issued under the Prospectus, including that:
•
Securities are unsecured obligations;
26
Element
Title
•
the trading price of the Securities is affected by a number of factors
including, but not limited to, the price of the Underlying Reference, time to
redemption and volatility and such factors mean that the trading price of the
Securities may be below the Cash Settlement Amount;
•
exposure to the Underlying Reference will be achieved by the Issuer
entering into hedging arrangements and potential investors are exposed to
the performance of these hedging arrangements and events that may affect
the hedging arrangements and consequently the occurrence of any of these
events may affect the value of the Securities;
•
the occurrence of an Additional Disruption Event or Optional Additional
Disruption Event may lead to an adjustment to the Securities, early
redemption or may result in the amount payable on scheduled redemption
being different from the amount expected to be paid at scheduled
redemption and consequently the occurrence of an Additional Disruption
Event and/or Optional Additional Disruption Event may have an adverse
effect on the value or liquidity of the Securities, expenses and taxation may
be payable in respect of the Securities;
•
the Securities may be redeemed in the case of illegality or impracticability
and such redemption may result in an investor not realising a return on an
investment in the Securities;
•
the meetings of Holders provisions permit defined majorities to bind all
Holders;
•
any judicial decision or change to an administrative practice or change to
English law after the date of the Prospectus could materially adversely
impact the value of any Securities affected by it;
•
a reduction in the rating, if any, accorded to outstanding debt securities of
the Issuer or Guarantor by a credit rating agency could result in a reduction
in the trading value of the Securities; and
•
the only means through which a Holder can realise value from the Security
prior to its Redemption Date is to sell it at its then market price in an
available secondary market and that there may be no secondary market for
the Securities (which could mean that an investor has to wait until
redemption of the Securities to realise a greater value than its trading value),
an active secondary market may never be established or may be illiquid and
this may adversely affect the value at which an investor may sell its
Securities (investors may suffer a partial or total loss of the amount of their
investment).
In addition, there are specific risks in relation to Securities which are linked to an
Underlying Reference and an investment in such Securities will entail significant
risks not associated with an investment in a conventional debt security. Risk factors
in relation to the Securities as they are Underlying Reference linked Securities
include:
27
Element
D.6
Title
Risk
warning
•
exposure to the Index; and
•
adjustment events and market disruption or failure to open of an exchange
which may have an adverse effect on the value and liquidity of the
Securities.
See Element D.3 above.
In the event of the insolvency of the Issuer or if it is otherwise unable or unwilling to
repay the Securities when repayment falls due, an investor may lose all or part of his
investment in the Securities.
If the Guarantor is unable or unwilling to meet its obligations under the Guarantee
when due, an investor may lose all or part of his investment in the Securities.
In addition, investors may lose all or part of their investment in the Securities as a
result of the terms and conditions of the Securities.
28
Section E - Offer
Element
Title
E.2b
Reasons for
the offer
and use of
proceeds
The net proceeds from the issue of the Securities will become part of the general
funds of the Issuer. Such proceeds may be used to maintain positions in options or
futures contracts or other hedging instruments.
E.3
Terms and
conditions
of the offer
This issue of Securities is being offered in a Non-exempt Offer in the Republic of
Italy.
The issue price per Security is EUR100.
E.4
E.7
Interest of
natural and
legal
persons
involved in
the
issue/offer
The Authorised Offeror will be paid certain fees. See Element C.18 above.
Expenses
charged to
the investor
by the
Issuer
No expenses are being charged to an investor by the Issuer.
Other than as mentioned above, and save for any potential conflicts of interest that
may arise as a consequence of the Issuer and/or the Guarantor and their affiliates (i)
undertaking different roles in connection with the Certificates, including Issuer of the
Certificates, Calculation Agent of the Certificates, issuer, sponsor or calculation
agent of the Underlying Reference(s), (ii) engaging in trading activities (including
hedging activities) relating to the Underlying Reference or other instruments or
derivative products based on or relating to the Underlying Reference, (iii) issuing
other derivative instruments in respect of the Underlying Reference and (iv) acting in
a number of different capacities in relation to the Underlying Reference, including
but not limited to issuers of the constituents of the Underlying Reference, index
sponsor or calculation agent, so far as the Issuer is aware, no person involved in the
issue of the Securities has an interest material to the offer, including conflicts of
interests.
29
FRENCH VERSION OF THE SUMMARY OF THE PROSPECTUS
RÉSUMÉ DU PROSPECTUS
Les résumés sont établis sur la base des éléments d’informations (ci-après les "Eléments") présentés dans les
sections A à E (A.1 à E.7) ci- dessous. Le présent résumé contient tous les Eléments requis pour ce type de
Titres, d’Emetteur et de Garant. Dans la mesure où certains Eléments ne sont pas requis, des écarts dans la
numérotation des Eléments présentés peuvent être constatés. Par ailleurs, pour certains des Eléments requis
pour ce type de Titres, d’Emetteur et de Garant, il est possible qu’aucune information pertinente ne puisse
être fournie au titre de cet Elément. Dans ce cas, une brève description de l’Elément concerné est présentée
dans le Résumé et est accompagnée de la mention « Sans objet ».
Section A - Introduction et avertissements
Elément
Description
l’Elément
de
A.1
Avertissement
général selon
lequel le résumé
doit être lu
comme une
introduction et
disposition
concernant les
actions en justice
1.
Le présent résumé doit être lu comme une introduction au
Prospectus de BNPP B.V. en date du 8 octobre 2015 (le
"Prospectus").
2.
Toute décision d’investir dans les Titres concernés doit être fondée
sur un examen exhaustif du Prospectus dans son ensemble, y
compris tous documents incorporés par référence.
3.
Lorsqu’une action concernant l’information contenue dans le
Prospectus est intentée devant un tribunal d’un Etat Membre de
l’Espace Economique Européen, l’investisseur plaignant peut,
selon la législation nationale de l'État Membre où l'action est
intentée, avoir à supporter les frais de traduction de ce
Prospectus avant le début de la procédure judiciaire.
4.
Aucune responsabilité civile ne sera recherchée auprès de
l’Emetteur ou du Garant dans cet Etat Membre sur la seule
base du présent résumé, y compris sa traduction, à moins que
le contenu du résumé ne soit jugé trompeur, inexact ou
contradictoire par rapport aux autres parties du Prospectus,
ou, une fois les dispositions de la Directive 2010/73/UE
transposées dans cet Etat Membre, à moins qu’il ne fournisse
pas, lu en combinaison avec les autres parties du Prospectus, les
informations clés (telles que définies à l’Article 2.1(s) de la
Directive Prospectus) permettant d’aider les investisseurs
lorsqu’ils envisagent d’investir dans ces Titres.
30
Elément
Description
l’Elément
de
A.2
Consentement à
l’utilisation du
Prospectus,
période de validité
et autres
conditions y
afférentes
Consentement : Sous réserve des conditions mentionnées ci-dessous,
l’Emetteur consent à l’utilisation du Prospectus pour les besoins de la
présentation d’une Offre Non Exemptée de Titres par BNP Paribas Arbitrage
S.N.C. (le "Chef de File") et Banca Nazionale de Lavoro S.p.A (l' "Offreur
Autorisé").
Période d’Offre : Le consentement de l’Emetteur visé ci-dessus est donné
pour des Offres Non Exemptées de Titres durant la période à compter du 12
octobre 2015 (inclus) jusqu'au 25 novembre 2015 (inclus) (la "Période
d’Offre").
Conditions du consentement : Les conditions du consentement de l’Emetteur
sont telles que ce consentement (a) n’est valable que pendant la Période
d’Offre et (b) ne porte que sur l’utilisation du Prospectus pour faire des Offres
Non Exemptées de la Tranche de Titres concernée en Italie.
UN INVESTISSEUR QUI A L’INTENTION D’ACHETER OU QUI
ACHETE DES TITRES DANS UNE OFFRE NON-EXEMPTÉE
AUPRÈS D’UN OFFREUR AUTORISÉ LE FERA, ET LES OFFRES
ET VENTES DE TELS TITRES À UN INVESTISSEUR PAR CET
OFFREUR AUTORISÉ SE FERONT CONFORMÉMENT AUX
TERMES ET CONDITIONS DE L’OFFRE EN PLACE ENTRE CET
OFFREUR AUTORISÉ ET L’INVESTISSEUR EN QUESTION,
NOTAMMENT EN CE QUI CONCERNE LES ACCORDS
CONCERNANT LE PRIX, LES ALLOCATIONS, LES DEBOURS ET
LE RÈGLEMENT. LES INFORMATIONS ADEQUATES SERONT
ADRESSEES PAR L’OFFREUR AUTORISÉ AU MOMENT DE
CETTE OFFRE.
Section B - Emetteurs et Garant
Elément
Description
l’Elément
de
B.1
Raison sociale et
nom commercial
de l’Emetteur
BNP Paribas Arbitrage Issuance B.V. ("BNPP B.V." ou l’"Emetteur").
B.2
Domicile/ forme
juridique/
législation/ pays
de constitution
L’Emetteur a été constitué aux Pays-Bas sous la forme d’une société non
cotée en bourse à responsabilité limitée de droit néerlandais, et son siège
social est situé Herengracht 537, 1017 BV Amsterdam, Pays-Bas.
B.4b
Information
les tendances
BNPP B.V. est dépendante de BNPP. BNPP B.V. est une filiale entièrement
détenue par BNPP et qui est particulièrement impliquée dans l’émission de
titres tels que des Obligations, Warrants ou Certificats ou d’autres obligations
qui sont développées, mises en place et vendues à des investisseurs par
sur
31
Elément
Description
l’Elément
de
d’autres sociétés du Groupe BNPP (y compris BNPP). Les titres sont couverts
par l’acquisition d’instruments de couverture auprès de BNP Paribas et
d’entités de BNP Paribas tel que décrit dans l’Elément D.2 ci-dessous. Par
conséquent, les Informations sur les Tendances décrites pour BNPP doivent
également s’appliquer à BNPP B.V.
B.5
Description du
Groupe
BNPP B.V. est une filiale intégralement détenue par BNP Paribas. BNP
Paribas est la société mère ultime d’un groupe de sociétés et gère les
opérations financières de ses sociétés filiales (collectivement le "Groupe
BNPP" ou le "Groupe")).
B.9
Prévision ou
estimation du
bénéfice
Le plan de développement 2014-2016 du Groupe confirme le choix du modèle
de banque universelle. Le plan de développement 2014-2016 vise à
accompagner les clients dans un environnement en évolution.
Le Groupe définit cinq grands axes stratégiques pour 2016 :
•
renforcer l'attention et les services aux clients
•
simplicité : simplifier notre organisation et nos modes de fonctionnement
•
efficacité : poursuivre l'amélioration de l'efficacité opérationnelle
•
adapter certains
règlementaire
•
réussir les initiatives de développement
métiers
à
leur
environnement
économique
et
BNPP reste mobilisé sur la mise en œuvre de son plan de développement
2014-2016 dans un contexte d'intérêt faible et doit prendre en compte taxes et
réglementations additionnelles.
B.10
Réserves
contenues dans le
rapport d’audit
Sans objet, il n’existe aucune réserve dans le rapport d’audit sur les
informations financières historiques contenues dans le Prospectus.
B.12
Données Financières Annuelles Comparées - En EUR
Produit Net Bancaire
Résultat Net, part du Groupe
Total du bilan
Capitaux Propres (part du Groupe)
31/12/2014
31/12/2013
432 263
397 608
29 043
26 749
64 804 833 465
48 963 076 836
445 206
416 163
Données Financières Intérimaires Comparées- En EUR
Résultat Net, part du Groupe
32
30/06/2015
30/06/2014
158 063
218 961
10 233
14 804
Elément
Description
l’Elément
de
Total du bilan
Capitaux Propres (part du Groupe)
30/06/2015
31/12/2014
51 184 742 227
64 804 833 465
455 439
445 206
Déclarations relatives à l’absence de changement significatif ou de changement défavorable
significatif
Il ne s’est produit aucun changement significatif dans la situation financière ou commerciale du
Groupe BNPP depuis le 30 juin 2015 (date de clôture de la dernière période comptable pour
laquelle des états financiers intérimaires ont été publiés). Il ne s’est produit aucun changement
défavorable significatif dans les perspectives de BNPP ou du Groupe BNPP depuis le 31 décembre
2014 (date de clôture de la dernière période comptable pour laquelle des états financiers audités ont
été publiés).
Il ne s’est produit aucun changement significatif dans la situation financière ou commerciale de
BNPP B.V. depuis le 30 juin 2015 et il ne s’est produit aucun changement défavorable significatif
dans les perspectives de BNPP B.V. depuis le 31 décembre 2014.
B.13
Evénements
impactant la
solvabilité de
l’Emetteur
Au 8 octobre 2015 et à la connaissance de l’Emetteur, il ne s’est produit
aucun événement récent qui présente un intérêt significatif pour l’évaluation
de sa solvabilité depuis le 30 juin 2015.
B.14
Dépendance à
l’égard d’autres
entités du groupe
L’Emetteur est dépendant de BNPP et d’autres membres du Groupe. Voir
également l’Elément B.5 ci-dessus.
BNPP B.V. est une filiale entièrement détenue par BNPP et qui est
particulièrement impliquée dans l’émission de titres tels que des Obligations,
Warrants ou Certificats ou d’autres obligations qui sont développées, mises en
place ou vendues à des investisseurs par d’autres sociétés du Groupe BNPP (y
compris BNPP). Les titres sont couverts par l’acquisition d’instruments de
couverture auprès de BNP Paribas et d’entités de BNP Paribas tel que décrit
dans l’Elément D.2 ci-dessous.
B.15
Principales
activités
L’Emetteur a pour activité principale d’émettre et/ou d’acquérir des
instruments financiers de toute nature et de conclure des contrats à cet effet
pour le compte de différentes entités au sein du Groupe BNPP.
B.16
Actionnaires
contrôle
B.17
Notations
de
crédit sollicitées
de
BNP Paribas détient 100% du capital de l’Emetteur.
Les titres d’emprunt à long terme de BNPP B.V. sont notés A+ avec une
perspective négative (Standard & Poor’s Credit Market Services France SAS)
et les titres d’emprunt à court terme de BNPP B.V. sont notés A-1 (Standard
& Poor’s Credit Market Services France SAS).
33
Elément
Description
l’Elément
de
Les Titres n’ont pas été notés.
La notation d'un Titre ne constitue pas une recommandation d'acheter, de
vendre ou de détenir des titres et peut faire l'objet d'une suspension, d'une
dégradation ou d'un retrait à tout moment par l'agence de notation mandatée.
B.18
Description de la
Garantie
Les Titres seront inconditionnellement et irrévocablement garantis par BNP
Paribas ("BNPP" ou le "Garant") en vertu d’un acte de garantie de droit
anglais signé par le Garant le 9 juin 2015 (la "Garantie").
Dans le cas d'un renflouement interne de BNPP B.V. mais non de BNPP, les
titres et/ou les montants dus par BNPP au titre de la garantie seront réduits
pour refléter cette réduction ou cette modification résultant de l'application du
renflouement interne à BNPP B.V. par le régulateur concerné.
Dans le cas d'un renflouement interne de BNPP mais non de BNPP B.V., les
titres et/ou les montants dus par BNPP au titre de la garantie seront réduits
pour refléter cette réduction ou cette modification appliquée aux titres émis
par BNPP résultant de l'application du renflouement interne à BNPP par tout
régulateur concerné.
Les obligations en vertu de la Garantie sont des obligations directes,
inconditionnelles, non assorties de sûretés et non subordonnées de BNPP et
viennent et viendront au même rang entre elles, et pari passu au moins par
rapport à toutes les autres dettes directes, inconditionnelles, non assorties de
sûretés et non subordonnées de BNPP (sous réserve des exceptions relatives
aux dettes privilégiées en vertu de la loi).
B.19
Informations
concernant le
Garant
B.19/ B.1
Raison sociale et
nom commercial
du Garant
BNP Paribas.
B.19/ B.2
Domicile/ forme
juridique/
législation/ pays
de constitution
Le Garant a été constitué en France sous la forme d’une société anonyme de
droit français et agréée en qualité de banque, dont le siège social est situé 16,
boulevard des Italiens – 75009 Paris, France.
B.19/
B.4b
Information
les tendances
Risques macroéconomiques
sur
L’environnement macroéconomique et de marché affecte les résultats de
BNPP. Compte tenu de la nature de son activité, BNPP est particulièrement
sensible aux conditions macroéconomiques et de marché en Europe, qui ont
été difficiles et volatiles ces des dernières années.
En 2014, l’économie mondiale a poursuivi son lent redressement mais
certaines incertitudes demeurent, en particulier en Europe où la performance
économique au second semestre 2014 a été plus faible que prévue. Les
34
Elément
Description
l’Elément
de
prévisions économiques du FMI et de l’OCDE2pour l’année 2015 prévoient la
poursuite d’une croissance modérée pour les économies développées mais
avec des divergences entre les pays, y compris dans la zone euro, où les
prévisions de croissance restent faibles dans certains pays (notamment en
France et en Italie). Les prévisions sont similaires pour les marchés émergents
(à savoir, une croissance modérée avec des zones de fragilité). Les risques de
court terme pesant sur la croissance économique soulignés par le FMI incluent
des tensions géopolitiques plus importantes et une volatilité accrue des
marchés financiers ; les risques de moyen terme soulignés incluent quant à
eux une croissance faible ou une stagnation dans les pays développés. Dans la
zone euro, le risque déflationniste est toujours présent quoique réduit par
l’annonce de mesures non conventionnelles de la BCE.
Législation et Réglementations Applicables aux Institutions Financières
La législation et les réglementations applicables aux institutions financières
qui ont un impact sur BNPPF connaissent une évolution significative. Les
mesures qui ont été proposées et/ou adoptées au cours des dernières années
comprennent des exigences plus strictes en matière de capital et de liquidité
(notamment pour les grands groupes bancaires tels que le Groupe BNPP),
des taxes sur les transactions financières, des restrictions et des taxes sur la
rémunération des salariés, des limitations aux activités bancaires
commerciales et la séparation au sein de filiales dédiées, voire
l’interdiction, de certaines activités considérées comme spéculatives, des
restrictions sur les types de produits financiers, des exigences accrues en
matière de contrôle interne et de transparence, des règles de conduite des
affaires plus strictes, la compensation et un reporting obligatoires des
opérations sur instruments dérivés, des obligations de limiter les risques
relatifs aux dérivés OTC et la création de nouvelles autorités
réglementaires renforcées.
Les mesures adoptées récemment ou qui sont (ou dont les mesures
d’application sont) encore en projet ou font encore l'objet de discussions,
qui ont, ou sont susceptibles d’avoir un impact sur BNPP, comprennent
notamment l’ordonnance du 27 juin 2013 relative aux établissements de
crédit et aux sociétés de financement, qui est entrée en vigueur au 1 er janvier
2014, la loi bancaire du 26 juillet 2013 sur la séparation et la réglementation
des activités bancaires et ses décrets et arrêtés d’application et l’Ordonnance
du 20 février 2014 portant diverses dispositions d'adaptation de la
législation au droit de l'Union européenne en matière financière, la Directive
et le Règlement du Parlement et du Conseil Européen du 26 juin 2013 sur
les fonds propres réglementaires dits « CRD4/CRR » (et leurs actes
délégués et actes d’exécution), dont un nombre important de dispositions
sont applicables depuis le 1er janvier 2014, les normes techniques de
réglementation et d’exécution relatives à la Directive et au Règlement dits «
2
Voir en particulier : Fonds Monétaire International. World Economic Outlook (WEO) Mise à jour, janvier 2015 : Gross Currents ;
Fonds Monétaire International. 2014 ; Fonds Monétaire International. World Economic Outlook: Legacies, Clouds, Uncertainties.
Washington (octobre 2014) ; OCDE - Putting the Euro area on a road to recovery - C. Mann - 25 novembre 2014.
35
Elément
Description
l’Elément
de
CRD4/CRR » élaborées par l'Autorité Bancaire Européenne, la désignation
de BNPP en tant qu’institution financière d’importance systémique par le
Conseil de Stabilité Financière et la consultation sur un standard
international commun de capacité d’absorption des pertes (total lossabsorbing capacity, "TLAC") pour les établissements bancaires
d’importance systémique, la consultation sur la réforme structurelle du
secteur bancaire de l’Union Européenne de 2013 et la proposition de
Règlement du Parlement et du Conseil Européen en date du 29 janvier 2014
relatif à des mesures structurelles améliorant la résilience des établissements
de crédit de l’UE, la proposition de Règlement du Parlement et du Conseil
Européen en date du 18 septembre 2013 sur les indices de référence utilisés
pour les instruments financiers et les contrats financiers, le Règlement du
Parlement et du Conseil Européen en date du 16 avril 2014 sur les abus de
marché et la Directive du Parlement et du Conseil Européen en date du 16
avril 2014 sur les sanctions criminelles en cas d'abus de marché, la Directive
et le Règlement du Parlement et du Conseil Européen en date du 15 mai
2014 concernant les marchés d’instruments financiers, le Mécanisme
Européen de Surveillance Unique dirigé par la Banque Centrale Européenne
et adopté en octobre 2013 (Règlement du Conseil d'octobre 2013 conférant
à la Banque Centrale Européenne des missions spécifiques ayant trait aux
politiques en matière de surveillance prudentielle des établissements de
crédit et le Règlement du Parlement et du Conseil Européen en date du 22
octobre 2013 instituant une Autorité européenne de Surveillance en ce qui
concerne des missions spécifiques confiées à la Banque Centrale
Européenne (et ses actes délégués et actes d’exécution)), ainsi que
l’Ordonnance française y relative du 6 novembre 2014 portant diverses
dispositions d'adaptation de la législation française au mécanisme de
surveillance unique des établissements de crédit, la Directive du Parlement
et du Conseil Européen en date du 16 avril 2014 relative aux systèmes de
garantie des dépôts, qui renforce la protection des dépôts des citoyens en cas
de défaut bancaire (et les actes délégués et de transposition relatifs), la
Directive du Parlement et du Conseil Européen en date du 15 mai 2014
établissant un cadre pour le redressement et la résolution des établissements
de crédit et des entreprises d'investissement, qui harmonise les outils pour
répondre à des crises bancaires potentielles ; le Mécanisme de Résolution
Unique adopté par le Parlement Européen le 15 avril 2014 (Règlement du
Parlement et du Conseil Européen en date du 15 juillet 2014 établissant des
règles et une procédure uniformes pour la résolution des établissements de
crédit et de certaines entreprises d'investissement dans le cadre d'un
mécanisme de résolution unique et d'un fonds de résolution bancaire unique
(et ses actes délégués et actes d’exécution), instituant le Conseil de
Résolution Unique comme étant l'autorité en charge de la mise en place du
Mécanisme de Résolution Unique et l'établissement du Fonds de Résolution
Unique, le Règlement Délégué portant sur le système provisoire d'acomptes
sur les contributions visant à couvrir les dépenses administratives du Conseil
de Résolution Unique au cours de la période transitoire adopté par la
36
Elément
Description
l’Elément
de
Commission Européenne le 8 octobre 2014, le Règlement du Conseil en date
du 19 décembre 2014 définissant des conditions uniformes en ce qui concerne
les contributions ex-ante au Fonds de Résolution Unique ; le Règlement final
de la Réserve Fédérale des États-Unis imposant des règles prudentielles
accrues pour les opérations américaines des banques étrangères de taille
importante, la "Règle Volcker" imposant certaines restrictions sur
l'investissement ou le sponsorship dans les fonds alternatifs et les fonds de
capital investissement et les fonds de capital investissement ainsi que des
opérations de négociation (trading) propriétaire de banques américaines et
de banques non américaines adoptée par les autorités de régulation
américaines en décembre 2013, ainsi que le règlement final américain
concernant la rétention de risque de crédit (credit risk retention) adopté le
22 octobre 2014. Plus généralement, les autorités règlementaires,
prudentielles ou politiques de tout pays sont susceptibles à tout moment de
prendre de nouvelles ou différentes mesures pouvant avoir un impact
significatif sur le système financier dans son ensemble ou BNPP en
particulier.
B.19/B.5
Description
Groupe
B.19/B.9
Prévision ou
estimation du
bénéfice
du
BNPP est un leader européen des services bancaires et financiers et
possède quatre marchés domestiques de banque de détail en Europe : la
Belgique, la France, l'Italie et le Luxembourg. Il est présent dans 75 pays et
emploie près de 188 000 personnes, dont plus de 147 000 en Europe. BNPP
est la société mère du Groupe BNP Paribas (ensemble, le "Groupe BNPP").
Le plan de développement 2014-2016 du Groupe confirme le choix du modèle
de banque universelle. Le plan de développement 2014-2016 vise à
accompagner les clients dans un environnement en évolution.
Le Groupe définit cinq grands axes stratégiques pour 2016 :
•
renforcer l'attention et les services aux clients
•
simplicité : simplifier notre organisation et nos modes de fonctionnement
•
efficacité : poursuivre l'amélioration de l'efficacité opérationnelle
•
adapter certains
règlementaire
•
réussir les initiatives de développement
métiers
à
leur
environnement
économique
et
BNPP reste mobilisé sur la mise en œuvre de son plan de développement
2014-2016 dans un contexte d'intérêt faible et doit prendre en compte de
nouvelles taxes et réglementations.
B.19/
B.10
Réserves
contenues dans le
rapport d’audit
Sans objet, il n’existe aucune réserve dans le rapport d’audit sur les
informations financières historiques contenues dans le Prospectus.
B.19/
B.12
Informations financières historiques clés sélectionnées :
Données Financières Annuelles Comparées - En millions d’EUR
37
Elément
Description
l’Elément
de
31/12/2014
(audités)
31/12/2013*
39 168
37 286
Coût du Risque
(3 705)
(3 643)
157
4 818
(audités)
Résultat Net, Part du Groupe BNPP
*retraités suite à l'application des normes comptables IFRS10, IFRS11 et IAS32 .
Ratio common equity tier 1 (Bâle 3 plein,
CRD4)
31/12/2014
31/12/2013*
10,3%
10,3%
31/12/2013*
31/12/2014 (audités)
(audités)
Total du bilan consolidé
2 077 759
1 810 522*
Total consolidé des prêts et créances sur la
clientèle
657 403
612 455*
Total consolidé des dettes envers la clientèle
641 549
553 497*
89 410
87 433*
Capitaux propres (Part du Groupe BNPP)
*retraités suite à l'application des normes comptables IFRS10, IFRS11 et IAS32 révisées.
Données Financières Intérimaires Comparées pour la période de six mois prenant fin au 30
juin 2015 – En millions d'EUR
1H15
1H14*
22 144
19 480
Coût du Risque
(1 947)
(1 939)
4 203
(2 815)
30/06/2015
30/06/2014*
10,6%
10,3%
2 138 509
2 077 758
Total consolidé des prêts et créances sur la
clientèle
697 405
657 403
Total consolidé des dettes envers la
clientèle
687 365
641 549
Résultat Net, Part du Groupe BNPP
Ratio common equity tier 1 (Bâle 3 plein,
CRD4)
Total du bilan consolidé
38
Elément
Description
l’Elément
de
Capitaux propres (Part du Groupe BNPP)
92 078
89 458
*retraités conformément à l'Interprétation IFRIC 21
Déclarations relatives à l’absence de changement significatif ou de changement défavorable
significatif
Voir l'Elément B.12 ci-dessus en ce qui concerne le Groupe BNPP.
Il ne s’est produit aucun changement défavorable dans les perspectives de BNPP depuis le 31
décembre 2014 (date de clôture de la dernière période comptable pour laquelle des états financiers
audités ont été publiés).
B.19/
B.13
Evénements
impactant la
solvabilité du
Garant
Au octobre 2015 et à la connaissance du Garant, il ne s’est produit aucun
événement récent qui présente un intérêt significatif pour l’évaluation de sa
solvabilité depuis le 30 juin 2015.
B.19/
B.14
Dépendance à
l’égard d’autres
entités du Groupe
Sous réserve du paragraphe suivant, BNPP n’est pas dépendant d’autres
membres du Groupe BNPP.
En avril 2004, BNPP a commencé l'externalisation des Services de Gestion
des Infrastructures Informatiques (IT Infrastructure Management) vers BNP
Paribas Partners for Innovation (BP²I), une joint-venture créée avec IBM
France fin 2003. BP²I fournit des Services de Gestion des Infrastructures
Informatiques pour BNPP et plusieurs filiales de BNPP en France (y compris
BNP Paribas Personal Finance, BP2S et BNP Paribas Cardif), en Suisse et en
Italie. Mi-décembre 2011, BNPP a renouvelé son accord avec IBM France
pour une période allant jusqu'à fin 2017. Fin 2012, les parties ont conclu un
accord visant à étendre progressivement ce dispositif à BNP Paribas Fortis à
partir de 2013.
BP²I est placée sous le contrôle opérationnel d’IBM France ; BNP Paribas
exerce une forte influence sur cette entité qu’elle détient à parts égales avec
IBM France. Le personnel de BNP Paribas mis à disposition de BP²I compose
la moitié de son effectif permanent, les bâtiments et les centres de traitement
sont la propriété du Groupe et la gouvernance en place garantit
contractuellement à BNP Paribas une surveillance du dispositif et sa
réintégration au sein du Groupe si nécessaire.
ISFS, société détenue à 100 % par le groupe IBM, assure également des
services d’infrastructure de production informatique pour BNP Paribas
Luxembourg.
Les opérations de traitement des données de BancWest sont externalisées à
Fidelity Information Services. Le traitement des données de Cofinoga France
est externalisé à SDDC, société détenue à 100 % par IBM.
Voir également l’Elément B.5 ci-dessus.
39
Elément
Description
l’Elément
B.19/
B.15
Principales
Activités
de
BNP Paribas détient des positions clés dans ses deux domaines d’activité:
•
les activités Retail Banking and Services qui regroupent :
•
•
•
Domestic Markets, comprenant :
•
Banque de Détail en France (BDDF),
•
BNL Banca Commerciale (BNL bc), banque de
détail en Italie,
•
Banque De Détail en Belgique (BDDB),
•
Autres activités sur des Domestic Markets, y
compris la Banque de Détail et des Entreprises au
Luxembourg (BDEL) ;
une activité International Financial Services, composé de :
•
Europe-Méditerranée,
•
BancWest;
•
Personal Finance;
•
Assurance,
•
Wealth and Asset Management
le pôle Corporate and Institutional Banking (CIB) qui regroupe :
•
Corporate Banking,
•
Global Markets,
•
Securities Services.
B.19/
B.16
Actionnaires
contrôle
de
Aucun des actionnaires existants ne contrôle BNPP, que ce soit directement
ou indirectement. Les principaux actionnaires sont la Société Fédérale de
Participations et d’Investissement (SFPI), société anonyme d’intérêt public
agissant pour le compte du gouvernement belge, qui détient 10,3% du capital
social au 31 décembre 2014 et le Grand-Duché de Luxembourg, qui détient
1,0% du capital social au 31 décembre 2014. A la connaissance de BNPP,
aucun actionnaire autre que SFPI ne détient plus de 5% de son capital ou de
ses droits de vote.
B.19/
B.17
Notations
de
crédit sollicitées
Les titres d’emprunt à long terme de BNPP sont notés A+ avec une
perspective stable (Standard & Poor’s Credit Market Services France SAS),
A1 avec une perspective négative (Moody’s Investors Service Ltd.) et A+
avec une perspective stable (Fitch France S.A.S.) et les titres d'emprunt à
court terme de BNPP sont notés A-1 (Standard & Poor’s Credit Market
Services France SAS), P-1 (Moody’s Investors Service Ltd.) et F1 (Fitch
France S.A.S).
40
Elément
Description
l’Elément
de
Une notation de titres n’est pas une recommandation d’achat, de vente ou de
détention des titres concernés et peut être suspendue, réduite ou révoquée à
tout moment par l’agence de notation qui l’a attribuée.
Section C – Valeurs Mobilières
Elément
Description de
l’Elément
C.1
Nature et
catégorie des
valeurs
mobilières/
numéro
d’identification
(Code ISIN)
Les Titres sont des certificats ("Certificats") et sont émis en Souches. Le
Numéro de Souche des Titres est CE2850PRI. Le numéro de la Tranche est 1.
La date d'émission des Certificats est le 30 novembre 2015 (la "Date
d'Emission") et chaque Certificat aura un montant notionnel (le "Montant
Notionnel") de 100 EUR.
Le Code ISIN est : XS1251223530.
Le Code Commun est : 125122353.
Les Titres sont des Titres à règlement en espèces. La clause d'Exercice des
Certificats s'applique aux Certificats.
C.2
Devise
La devise de cette Souche de Titres est l'Euro ("EUR").
C.5
Restrictions à la
libre négociabilité
Les Titres seront librement négociables, sous réserve des restrictions d’offre
et de vente en vigueur en aux Etats-Unis, dans l’EEE, en Autriche, en
Belgique, en République Tchèque, au Danemark, en France, en Allemagne, en
Hongrie, en Irlande, au Portugal, en Espagne, en Suède, en Italie, aux PaysBas, en Pologne, au Royaume-Uni, au Japon et en Australie et conformément
à la Directive Prospectus et aux lois de toute juridiction dans laquelle les
Titres sont offerts ou vendus.
C.8
Droits s’attachant
aux Titres
Les Titres émis dans le cadre du Prospectus seront soumis à des modalités
concernant, entre autres, les questions suivantes :
Rang de Créance des Titres
Les Certificats sont émis sur une base non assortie de sûretés. Les Titres émis
sur une base non assortie de sûretés constituent des obligations directes,
inconditionnelles, non assorties de sûretés et non subordonnées de l’Emetteur
et viennent et viendront au même rang entre eux, et pari passu au moins avec
toutes les autres dettes directes, inconditionnelles, non assorties de sûretés et
non subordonnées de l’Emetteur (sous réserve des exceptions relatives aux
dettes privilégiées en vertu de la loi).
Fiscalité
41
Elément
Description de
l’Elément
Le Porteur devra régler tous les impôts, charges et/ou frais découlant de
l'exercice et du règlement ou du remboursement des Titres et/ou de la
livraison ou du transfert des Droits à Règlement Physique. L'Emetteur devra
déduire des montants exigibles ou des actifs à livrer aux Porteurs certains
impôts et frais qui n'ont pas été précédemment déduits des montants versés ou
des actifs qui ont été livrés aux Porteurs, lorsque l'Agent de Calcul détermine
ces derniers comme attribuables aux Titres.
Maintien de l’Emprunt à son Rang
Les modalités des Titres ne contiendront aucune clause de maintien de
l’emprunt à son rang.
Cas de Défaut
Les modalités des Obligations ne prévoiront pas de cas de défaut.
Assemblées
Les modalités des Titres contiendront des dispositions relatives à la
convocation d’assemblées des titulaires de ces Titres, afin d’examiner des
questions affectant leurs intérêts en général. Ces dispositions permettront à
des majorités définies de lier tous les titulaires, y compris ceux qui n’auront
pas assisté et voté à l’assemblée concernée et ceux qui auront voté d’une
manière contraire à celle de la majorité.
Loi applicable
Les Certificats, le Contrat d'Agent Placeur de droit anglais (Agency
Agreement) (tel que modifié ou complété de temps à autre), la Garantie se
rapportant aux Certificats et tous engagements non-contractuels au titre des
Certificats, du Contrat d'Agent Placeur de droit anglais (Agency Agreement)
tel que modifié ou complété de temps à autre), de la Garantie au titre des
Certificats seront régis par le droit anglais, qui gouvernera également leur
interprétation.
C.9
Intérêts/
Remboursement
Intérêts
Les Titres ne portent pas et ne donnent pas lieu au paiement d’intérêts.
Remboursement
A moins qu’il ne soit antérieurement remboursé ou annulé, chaque Titre sera
remboursé le 7 décembre 2020 dans les conditions indiquées à l’Elément
C.18.
Les Titres sont soumis à remboursement anticipé automatique.
Si, à une Date d'Evaluation de Remboursement Automatique, le pourcentage
d'allocation (Wt) (tel que défini à l'Elément C.18) du Panier Dynamique (tel
42
Elément
Description de
l’Elément
que défini à l'Elément C.18) relatif à l'Indice est égal à 0 (zéro), chaque
Certificat sera automatiquement remboursé de manière anticipée à la Date de
Remboursement Anticipé Automatique correspondante à son Montant de
Remboursement Anticipé Automatique (tel que défini à l'Elément C.18).
Voir l'Elément C.18 ci-dessous pour plus d'informations.
Les Certificats peuvent être remboursés de façon anticipée si un Cas de
Perturbation Additionnel ou un Cas de Perturbation Additionnel Optionnel se
produit ou si l’exécution des obligations de l’Emetteur en vertu des Titres
et/ou de tous accords de couverture connexes est devenue illégale ou si en
raison d’un cas de force majeure ou du fait du Prince l'exécution d'une telle
obligation est devenue impossible ou irréalisable en pratique. Le montant
payable au titre des Titres lors d'une telle annulation sera la juste valeur de
marché de chaque Titre moins les coûts de couverture.
Représentant des Porteurs de Titres
Aucun représentant des Porteurs de Titres n’a été nommé par l’Emetteur.
Voir rubrique C.8 ci-dessus pour les droits s’attachant aux Titres.
C.10
Paiement des
intérêts liés à un
ou plusieurs
instrument(s)
dérivé(s)
Sans objet puisqu'il n'y a pas d'intérêts dus.
C.11
Admission à la
Négociation
Une demande doit être présentée par l’Emetteur (ou pour son compte) en vue
de faire admettre les Titres à la négociation sur EuroTLX, qui n'est pas un
marché réglementé et sur Euronext Paris, qui est un marché réglementé.
C.15
Description de
l’impact de la
valeur du sousjacent sur la
valeur de
l’investissement
Le montant exigible au titre du remboursement est calculé par référence à
l'indice BNP Paribas MultiAsset D Index (page Bloomberg : BNPIMAD) (l'
"Indice" ou "Sous-Jacent de Référence"). Voir les Eléments C.18 et C.20 cidessous.
C.16
Echéance des
Titres Dérivés
La date de remboursement des Titres est le 7 décembre 2020 (la "Date de
Remboursement").
43
Elément
Description de
l’Elément
C.17
Procédure
Règlement
de
Les Titres de cette Souche sont des titres à règlement en espèces.
L’Emetteur n’a pas l’option de modifier le mode de règlement.
C.18
Produits des
Titres Dérivés
Voir l’Elément C.8 ci-dessus pour les droits s’attachant aux Titres.
Remboursement Final
A moins qu’il n’ait été préalablement remboursé ou racheté et annulé, chaque
Titre permet à son Porteur de recevoir de la part de l'Emetteur, à la Date de
Remboursement, un Montant de Règlement en Espèces égal à :
[ (
(
)
NA× Max80%× Max100%;DBMaxFinal ; DBFinal
)]
Avec :
"Jour Ouvrable Bancaire" désigne tout jour de la semaine à l'exception du
25 décembre et du 1er janvier de chaque année.
"Agent de Calcul" désigne BNP Paribas Arbitrage S.N.C.
"Jour Ouvrable de l'Indice Sur Mesure" désigne tout Jour Ouvrable de
l'Indice Sur Mesure Prévu au cours duquel (a) le niveau de l'Indice est calculé
et rendu disponible et (b) est un "Jour de Négociation de l'Indice Sur
Mesure".
"Jour de Négociation de l'Indice Sur Mesure" désigne, en ce qui concerne
un Indice, un jour pour lequel l'Emetteur et/ou l'un quelconque de ses affiliés
détermine à sa seule et entière discrétion sa capacité à acquérir, établir, réétablir, substituer, maintenir, liquider ou céder l'un de ses actifs lorsque cela
lui semble nécessaire afin de couvrir ses obligations eu égard à cet l'Indice en
vertu des Titres.
"DBFinale" est la Valeur du Panier Dynamique à la Date d'Evaluation de
Remboursement.
"DBMaxFinale" est la Valeur du Panier Dynamique la plus élevée au cours d'un
Jour Ouvrable de l'Indice Sur Mesure, et y compris, de la Date de Constatation
(inclus) à la Date d'Evaluation de Remboursement (inclus).
"NA" désigne le Montant Notionnel par Certificat, ce dernier étant 100 EUR.
"Panier Dynamique" désigne le panier formé par l'Indice et un composant
notionnel d'espèces lorsque le pourcentage du panier alloué à l'Indice et le
composant notionnel d'espèces doit être déterminé par l'Agent de Calcul
conformément à la formule sur la Valeur du Panier Dynamique.
"Valeur du Panier Dynamique" désigne la valeur du Panier Dynamique à
chaque Jour Ouvrable de l'Indice Sur Mesure Prévu t ("DBt"), tel que calculé
par l'Agent de Calcul conformément à la formule suivante :
44
Elément
Description de
l’Elément

JourOuvrés
DB t = DB t − 1 ×  1− Commission sdeprotect ion ×
360


 W × Indice t + (1−W )× 1+ Eonia

t −1
 t − 1 Indice
t −1


− DB t − 1 × CoûtRW
t −1
− AF ×
t −1 ×
( t −1 , t )

 ×

JoursOuvré s ( t − 1 , t )  

360

JoursOuvré s ( t − 1 , t )
360
"ActDayst-1,t" désigne le nombre de jours calendaires à compter du Jour
Ouvrable de l'Indice Sur Mesure Prévu t-1 (exclu) jusqu'au Jour Ouvrable de
l'Indice Sur Mesure Prévu t (inclus).
"DBt" est la Valeur du Panier Dynamique à un Jour Ouvrable de l'Indice Sur
Mesure Prévu t avec une DBt à la Date de Constatation (DB0) égale à 99,00%.
"DBt-1" est la Valeur du Panier Dynamique au Jour Ouvrable de l'Indice Sur
Mesure Prévu t-1.
"Wt" est le pourcentage d'allocation du Panier Dynamique alloué à l'Indice à
chaque Jour Ouvrable de l'Indice Sur Mesure Prévu t, tel que calculé
conformément à un algorithme d'allocation par l'Agent de Calcul.
"Wt-1" est le pourcentage d'allocation du Panier Dynamique alloué à l'Indice à
chaque Jour Ouvrable de l'Indice Sur Mesure Prévu t-1, tel que calculé
conformément à un algorithme d'allocation par l'Agent de Calcul.
"Indicet" est le niveau de l'Indice tel que publié par le Sponsor de l'Indice tel
que déterminé par l'Agent de Calcul pour tout Jour Ouvrable de l'Indice Sur
Mesure Prévu t.
"Indicet-1" est le niveau de l'Indice tel que publié par le Sponsor de l'Indice et
tel que détermine par l'Agent de Calcul pour tout Jour Ouvrable de l'Indice
Sur Mesure Prévu t-1.
coûtRWt est le coût de rééquilibrage calculé selon la formule suivante:
 Wt



coûtRWt = TC × abs
Indicet DBt −1  avec :
 − Wt −1 × Indice × DB 
t −1
t 

CoûtsRW0 = 0 .
"TC" est égal à 0,04%.
"Commissions de Protection" désigne un pourcentage égal à 0,50%.
"AF" désigne un pourcentage égal à 1,15%.
"abs" désigne la valeur absolue.
"Eoniat-1" désigne le taux Euro Overnight Index Average tel que publié sur la
page Reuters RIC "EONIA=", au Jour Ouvrable de l'Indice Sur Mesure Prévu
45
Elément
Description de
l’Elément
t-1 sous réserve qu'en cas de non publication de ce dernier, cela désigne le
taux tel que déterminé par l'Agent de Calcul sur la base de toute autre source
et à son entière discrétion qu'il jugera approprié.
"Jour Ouvrable de l'Indice Sur Mesure Prévu" désigne un jour ouvrable
bancaire au cours duquel (a) il est prévu que le niveau de l'Indice soit calculé
et rendu disponible et (b) qui est un Jour de Négociation de l'Indice Sur
Mesure.
"Date d'Evaluation du Remboursement" désigne le 30 novembre 2020.
"Date de Constatation" désigne le 30 novembre 2015.
Résumé du versement du remboursement final
Si les Certificats font l'objet d'un remboursement à la Date de
Remboursement, un Porteur recevra pour chaque Certificat qu'il détient un
montant (qui ne sera pas inférieur à 80 EUR) égal à 100 EUR multiplié par la
valeur la plus élevée entre (a) la valeur la plus haute du Panier Dynamique
(calculée selon la méthode décrite ci-dessus) (sous réserve d'une valeur
minimum de 100%) à un quelconque jour ouvrable pour l'Indice à compter du
30 novembre 2015 (inclus) jusqu'à la Date d'Evaluation du Remboursement
(qui est prévue pour le 30 novembre 2020) multiplié par 80% et (b) la valeur
du Panier Dynamique (calculée selon la méthode décrite ci-dessus) à la Date
d'Evaluation du Remboursement.
Remboursement Anticipé Automatique
Si à une Date d'Evaluation de Remboursement Anticipé Automatique t, le
pourcentage d'allocation (Wt) du Panier Dynamique de l'Indice est égal à 0
(zéro) (un "Evènement de Remboursement Anticipé Automatique"), les
Titres seront remboursés de manière anticipée au Montant de Remboursement
Anticipé Automatique à la Date de Remboursement Anticipé Automatique.
Le "Montant de Remboursement Anticipé Automatique" sera égal à :
[ (
(
)
NA × Max 80 % × Max 100 %; DB Max Anticipé ; DB Anticipé
)]
"DBAnticipé" désigne la Valeur du Panier Dynamique (telle que définie cidessus) à la Date d'Evaluation du Remboursement Anticipé Automatique.
"DBMaxAnticipé" désigne la Valeur du Panier Dynamique (telle que définie cidessus) la plus élevée à un quelconque Jour Ouvrable de l'Indice Sur Mesure à
compter de la Date de Constatation (inclus) jusqu'à la Date d'Evaluation du
Remboursement Anticipé Automatique.
"NA" désigne le Montant Notionnel par Certificat, ce dernier étant de 100
EUR.
"Date d'Evaluation du Remboursement Anticipé Automatique" désigne
chaque Jour Ouvrable de l'Indice Sur Mesure Prévu à compter de la Date de
Constatation (exclue) jusqu'à la Date d'Evaluation de Remboursement
46
Elément
Description de
l’Elément
(exclue).
"Date de Remboursement Anticipé Automatique" désigne la date la plus
antérieure entre (i) la date qui tombe un mois calendaire suivant la Date
d'Evaluation du Remboursement Anticipé Automatique et (ii) la Date de
Remboursement.
"Date de Remboursement" désigne le 7 décembre 2020.
"t" désigne un Jour Ouvrable de l'Indice Sur Mesure Prévu.
Résumé du versement en cas de Remboursement Anticipé Automatique
Si les Certificats font l'objet d'un remboursement à la Date de Remboursement
Anticipé Automatique suivant la survenance d'un Evènement de
Remboursement Anticipé Automatique, un Porteur recevra pour chaque
Certificat qu'il détient un montant (qui ne sera pas inférieur à 80 EUR) égal à
100 EUR multiplié par la valeur la plus élevée entre (a) la valeur la plus haute
du Panier Dynamique (calculée selon la méthode décrite ci-dessus) (sous
réserve d'une valeur minimum de 100%) à un quelconque jour ouvrable pour
l'Indice à compter du 30 novembre 2015 (inclus) jusqu'à la Date d'Evaluation
du Remboursement Anticipé Automatique (inclus) à laquelle l'Evènement de
Remboursement Anticipé Automatique survient multiplié par 80% et (b) la
valeur du Panier Dynamique (calculée selon la méthode décrite ci-dessus) à la
Date d'Evaluation du Remboursement Anticipé Automatique à laquelle
l'Evénement de Remboursement Anticipé Automatique survient.
Les dispositions ci-dessus sont soumises à ajustement tel que stipulé dans les
modalités des Certificats afin de prendre en compte les évènements en relation
avec le Sous-Jacent de Référence ou les Titres. Ces derniers pourront
entrainer des ajustements sur les Certificats, ou dans certains cas, la résiliation
anticipée des Certificats à un montant de remboursement anticipé.
Commissions
Certaines commissions sont exigibles au titre des Certificats.
Le Gestionnaire règlera à l'Offrant Autorisé une commission égale à un
montant annuel maximum de 1,35% du montant notionnel cumulé des
Certificats qui seront émis. Les commissions à verser à l'Offrant Autorisé sont
les suivantes :
- une commission initiale de 1,00% (qui est déduite de la valeur initiale du
Panier Dynamique) ; et
- une commission de gestion (la "Commission de Gestion") qui sera versée
trimestriellement à chaque Date de Paiement de Commission de Gestion j
pour la surveillance de la structure de l'Indice et des Certificats et sera
calculée comme suit :
47
Elément
Description de
l’Elément
 RDFD j
Act ( n − 1, n ) 
-"RDFj" désigne 
AF × ONA n ×

∑
360
 n = RDFD j −1 +1

"RDFDj" désigne la Date d'Observation de la Commission de Gestion j.
"RDFDj-1" désigne la Date d'Observation de la Commission de Gestion qui
précède la Date d'Observation de la Commission de Gestion j, soit la Date de
Constatation pour j=1.
"Période de Commission de Gestion j" désigne chaque Date d'Observation à
compter de RDFDj-1 (exclu) jusqu'à RDFDj (inclus).
"n" désigne une Date d'Observation au cours de la Période de Commission de
Gestion j.
"n-1" désigne la Date d'Observation précédent immédiatement la Date
d'Observation n.
"AF" désigne un pourcentage égal à 1,15%.
"Act(n-1,n)" désigne le nombre réel de jours calendaires au cours de la
période à compter de n-1 (exclue) jusqu'à n (inclus).
"Date d'Observation" désigne chaque Jour Ouvrable de l'Indice Sur Mesure
Prévu à compter de la Date de Constatation (exclue) jusqu'à la date la plus
proche entre la Date d'Evaluation du Remboursement Anticipé Automatique
ou la Date d'Effet.
"Date d'Effet" désigne le 30 novembre 2020.
" ONAn " désigne le montant notionnel existant à la Date d'Observation n
pour les Certificats détenus par les investisseurs autres que l'Emetteur ou l'un
de ses affiliés, sauf si cet affilié est Banca Nazionale del Lavoro S.p.A.
j
Date d'Observation de la
Commission de Gestion
Date de Paiement de la
Commission de Gestion
1
29 février 2016
7 mars 2016
2
31 mai 2016
6 juin 2016
3
31 août 2016
5 septembre 2016
4
30 novembre 2016
7 décembre 2016
5
28 février 2017
7 mars 2017
6
31 mai 2017
7 juin 2017
7
31 août 2017
7 septembre 2017
8
30 novembre 2017
7 décembre 2017
9
28 février 2018
7 mars 2018
10
31 mai 2018
7 juin 2018
11
31 août 2018
7 septembre 2018
12
30 novembre 2018
7 décembre 2018
48
Elément
Description de
l’Elément
13
28 février 2019
7 mars 2019
14
31 mai 2019
7 juin 2019
15
30 août 2019
6 septembre 2019
16
29 novembre 2019
6 décembre 2019
17
28 février 2020
6 mars 2020
18
29 mai 2020
5 juin 2020
19
28 août 2020
4 septembre 2020
20
Date d'Effet
Date de Remboursement
En outre, des Commissions de Protection de 0,50% par an seront déduites de
la valeur du Panier Dynamique à un Jour Ouvrable de l'Indice Sur Mesure
Prévu t, tel que décrit dans la définition de la Valeur du Panier Dynamique cidessus. La Commission de Gestion (telle que décrite ci-dessus) est également
déduite de la Valeur du Panier Dynamique.
C.19
Prix de Référence
Final du SousJacent
Le prix de référence final du Sous-Jacent de Référence sera déterminé selon le
mécanisme d’évaluation indiqué dans l’Elément C.18 ci-dessus sous réserve
de la survenance de certains évènements extraordinaires et ajustements
affectant le/lesdit(s) actif(s) sous-jacent(s).
C.20
Sous-Jacent de
Référence
L'Indice BNP Paribas MultiAsset D Index est un indice libellé en EUR (la
"Devise de l'Indice"). L'objectif de cet Indice est de fournir une exposition
synthétique à la performance d'un panier de Produits Négociés sur Marché
(Exchange Traded Products ou "ETP") composé notamment du
réinvestissement des dividendes ou des répartitions, lorsque la pondération de
chaque Composant ETP est rééquilibré sur une base journalière
conformément à un algorithme d'allocation propriétaire visant à maximiser le
rendement pour un niveau de risque prédéterminé. La performance d'un ETP
qui n'est pas libellé en EUR peut être convertie de sa devise domestique en
EUR de la manière décrite dans les règles relatives à l'Indice (les "Règles de
l'Indice").
L'Indice est un indice de "Rendement Total". En conséquence, le niveau de
l'indice reflète une valeur supposant un réinvestissement de tous les
dividendes et distributions déclarés.
Afin de contrôler les risques de volatilité associés à l'Indice, un mécanisme de
contrôle de volatilité est mis en place et BNP Paribas Arbitrage S.N.C. (l'
"Agent de Calcul de l'Indice") devra observer la volatilité de l'Indice de
manière quotidienne. Lorsque l'Agent de Calcul de l'Indice détermine que la
volatilité a dépassé le seuil de volatilité maximale (le "Seuil de Volatilité
Maximale") de 10,00%, alors l'exposition de l'Indice à certains composants
de l'Indice sera réduite et une portion correspondante de l'Indice se référera à
des actifs de marché monétaire, en vue de maintenir à la volatilité de l'Indice
en dessous du seuil de Volatilité Maximale. Les coûts de transaction encourus
au cours de ses rééquilibrages au titre du mécanisme de contrôle de la
49
Elément
Description de
l’Elément
volatilité seront reflétés dans le niveau de l'Indice publié et seront
prédéterminés.
La composition de l'Indice pour un jour particulier est disponible sur demande
auprès de BNP Paribas qui est le sponsor de l'Indice (le "Sponsor de
l'Indice"). Les Règles de l'Indice et la méthodologie d'indice applicable à
l'Indice sont disponibles sur le site internet suivant : https://indicesglobalmarkets.bnpparibas.com/nr/MADTR.pdf.
L'Indice est calculé, maintenu, rééquilibré et publié par l'Agent de Calcul de
l'Indice conformément aux Règles de l'Indice.
De plus amples informations sur Sous-Jacent de Référence peuvent être
obtenues sur la page écran Bloomberg BNPIMAD.
Section D – Risques
Elément
Description de
l’Elément
D.2
Principaux
risques propres à
l’Emetteur et au
Garant
Il existe certains facteurs pouvant affecter la capacité de l’Emetteur à remplir ses
obligations en vertu des Titres émis dans le cadre du Prospectus et celle du Garant à
remplir ses obligations en vertu de la Garantie.
Onze principaux risques sont inhérents aux activités de BNPP :
a)
Risque de crédit ;
b) Risque de crédit de Contrepartie ;
c)
Titrisation ;
d) Risque de marché ;
e)
Risque opérationnel ;
f)
Risque de réputation et de conformité ;
g) Risque de concentration ;
h) Risque de taux d'intérêts de registre bancaire ;
i)
Risques stratégiques et de business ;
j)
Risque de liquidité ; et
k) Risque de souscription d'Assurance.
Des conditions économiques et de marché difficiles ont eu et continueront à avoir
un effet défavorable significatif sur les conditions dans lesquelles évoluent les
établissements financiers et en conséquence sur la situation financière, les résultats et le
50
Elément
Description de
l’Elément
coût du risque de BNPP.
L’accès au financement de BNPP et les conditions de ce financement pourraient
être affecté de manière significative en cas de résurgence de la crise de la dette
souveraine dans la zone euro, de détérioration des conditions économiques, de
dégradations de notation, d'augmentation d'écarts de crédit (credit spread) ou d’autres
facteurs.
Toute variation significative des taux d’intérêts est susceptible d'affecter les
revenus ou la rentabilité de BNPP.
La solidité financière et le comportement des autres institutions financières et
acteurs du marché pourraient avoir un effet défavorable sur BNPP.
Les fluctuations de marché et la volatilité exposent BNPP au risque de pertes
substantielles dans le cadre de ses activités de marché et d’investissement.
Les revenus tirés par BNPP des activités de courtage et des activités générant des
commissions sont potentiellement vulnérables à une baisse des marchés.
Une baisse prolongée des marchés peut réduire la liquidité et rendre plus difficile la
cession d’actifs. Une telle situation pourrait engendrer des pertes significatives.
Des mesures législatives et réglementaires prises en réponse à la crise financière
mondiale pourraient affecter de manière substantielle BNPP ainsi que
l’environnement financier et économique dans lequel elle opère.
BNPP est soumise à une réglementation importante et fluctuante dans les pays où elle
exerce ses activités.
En cas de non-conformité avec les lois et règlements applicables, BNPP peut être
exposée à des amendes significatives et d’autres sanctions administratives et pénales.
Il existe des risques liés à la mise en œuvre du plan stratégique de BNPP.
BNPP pourrait connaître des difficultés relatives à l’intégration des sociétés
acquises et pourrait ne pas réaliser les bénéfices attendus de ses acquisitions.
Une intensification de la concurrence, par des acteurs bancaires et non bancaires,
pourrait peser sur ses revenus et sa rentabilité.
Toute augmentation substantielle des provisions ou tout engagement insuffisamment
provisionné peut peser sur les résultats et sur la situation financière de BNPP.
Malgré les politiques, procédures et méthodes de gestion du risque mises en œuvre,
BNPP peut être exposé à des risques non identifiés ou imprévus, susceptibles
d’occasionner des pertes significatives.
Les stratégies de couverture mises en place par BNPP n’écartent pas tout risque de
perte.
Tout préjudice porté à la réputation de la Banque pourrait nuire à sa compétitivité.
Toute interruption ou défaillance des systèmes informatiques de BNPP peut provoquer
51
Elément
Description de
l’Elément
des pertes significatives d’informations relatives aux clients, nuire à la réputation de la
Banque et provoquer des pertes financières.
Des événements externes imprévus peuvent provoquer une interruption des activités de
BNPP et entraîner des pertes substantielles ainsi que des coûts supplémentaires.
Les facteurs de risque suivants sont relatifs à BNPP B.V. : BNPP B.V. est une société
opérationnelle. La seule activité de BNPP B.V. consiste à lever des capitaux et à
emprunter des fonds via l’émission de titres, tels que des Obligations, Warrants,
Certificats ou autres obligations. BNPP B.V. n’a pas, et n’aura pas, d’autres actifs que
les contrats de couverture (contrats OTC mentionnés dans les Rapports Annuels), les
espèces et les commissions qui lui sont payées, ou tout autre actif qu’elle aurait acquis,
en toute hypothèse en rapport avec l’émission de titres ou la conclusion de toute autre
obligation y afférente à un moment donné. BNPP B.V. a une petite base capitalistique et
une base de profit limitée. Les produits nets résultant de chaque émission de Titres émis
par BNPP B.V. feront partie intégrante des fonds généraux de BNPP B.V. BNPP B.V.
utilise ces produits en vue de couvrir ses risques de marché en acquérant des instruments
de couverture auprès de BNP Paribas et d'autres entités de BNP Paribas. La capacité de
BNPP B.V. à remplir ses obligations relatives aux Titres émis par elle dépendra des
paiements qu’elle aura perçus au titre des Contrats de Couverture. Par conséquent, les
Titulaires de Titres de BNPP B.V. seront, sous réserve des dispositions de la Garantie en
question émise par BNP Paribas, exposés à la capacité de BNP Paribas ou d'autres
entités de BNP Paribas à exécuter leurs obligations en vertu de ces Contrats de
Couverture.
D.3
Principaux
risques propres
aux Titres
Certains facteurs importants permettent d’évaluer les risques de marché liés aux Titres
émis dans le cadre du Prospectus, y compris le fait que :
•
les Titres sont les obligations non assorties de sûretés ;
•
le cours de négociation des Titres est affecté par plusieurs facteurs, y compris,
mais sans caractère limitatif, le cours du Sous-Jacent de Référence, la durée
restant à courir jusqu’au remboursement et la volatilité, et ces facteurs signifient
que le cours de négociation des Titres peut être inférieur au Montant de
Règlement en Espèces ;
•
l’exposition au Sous-Jacent de Référence sera réalisée par la conclusion par
l'Emetteur des accords de couverture et les investisseurs potentiels sont exposés
à la performance de ces accords de couverture et aux événements pouvant
affecter ces accords, et, par conséquent, la survenance de l’un ou l’autre de ces
événements peut affecter la valeur des Titres ;
•
la survenance d’un cas de perturbation additionnel ou d’un cas de perturbation
additionnel optionnel peut conduire à un ajustement des Titres, à un
remboursement anticipé ou peut avoir pour conséquence que le montant
payable à la date de remboursement prévue soit différent de celui qui devrait
être payé à ladite date de remboursement prévue, de telle sorte que la
survenance d’un cas de perturbation additionnel et/ou d’un cas de perturbation
52
Elément
Description de
l’Elément
additionnel optionnel peut avoir un effet défavorable sur la valeur ou la liquidité
des Titres ; des frais et impôts peuvent être payables sur les Titres ;
•
les Titres peuvent être remboursés en cas d’illégalité ou autre impossibilité
pratique, et ce remboursement peut avoir pour conséquence qu’un investisseur
ne réalise aucun retour sur son investissement dans les Titres ;
•
les clauses relatives aux assemblées générales des Titulaires permettent à des
majorités définies de lier tous les Titulaires ;
•
toute décision judiciaire, tout changement de la pratique administrative ou tout
changement de la loi anglaise, intervenant après la date du Prospectus, pourrait
avoir un impact défavorable significatif sur la valeur des Titres ainsi affectés ;
•
une réduction de la notation (éventuelle) accordée aux titres d’emprunt en
circulation de l'Emetteur ou du Garant par une agence de notation de crédit
pourrait entraîner une réduction de la valeur de négociation des Titres ; et
•
le seul moyen permettant à un Porteur de réaliser la valeur d’un Titre avant sa
Date de Remboursement consiste à le vendre à son cours de marché au moment
considéré sur un marché secondaire disponible, et il peut n’y avoir aucun
marché secondaire pour les Titres (ce qui pourrait signifier qu’un investisseur
doit attendre jusqu’à l’exercice ou jusqu’au remboursement des Titres pour
réaliser une valeur supérieure à sa valeur de négociation) ; un marché
secondaire actif ne peut jamais être établi ou peut être non liquide, ce qui peut
nuire à la valeur à laquelle un investisseur pourrait vendre ses Titres (les
investisseurs pourraient subir une perte partielle ou totale du montant de leur
investissement).
En outre, il existe des risques spécifiques liés aux Titres qui sont indexés sur un SousJacent de Référence et un investissement dans ces Titres entraînera des risques
significatifs que ne comporte pas un investissement dans un titre de créance
conventionnel. Les facteurs de risque liés aux Titres étant donné qu'ils sont indexés sur
un Sous-Jacent de Référence adossé à un Titre incluent :
D.6
Avertissement
sur le risque
•
l’exposition à un ou plusieurs indices ; et
•
des cas d'ajustement potentiels et cas de perturbation du marché ou le défaut
d’ouverture d’une bourse, qui peuvent avoir un effet défavorable sur la valeur
de la liquidité des Titres.
Voir Elément D.3 ci-dessus.
En cas d’insolvabilité de l’Emetteur ou si ce dernier est autrement incapable de
rembourser les Titres ou n’est pas disposé à les rembourser à leur échéance, un
investisseur peut perdre tout ou partie de son investissement dans les Titres.
Si le Garant est dans l’incapacité de remplir ses obligations en vertu de la Garantie à leur
échéance, ou n’est pas disposé à les remplir, un investisseur peut perdre tout ou partie de
53
Elément
Description de
l’Elément
son investissement dans les Titres.
En outre, les investisseurs peuvent perdre tout ou partie de leur investissement dans les
Titres en conséquence de l’application des modalités des Titres.
Section E - Offre
Elément
Description de
l’Elément
E.2b
Raisons de
l’offre et
utilisation du
produit de celleci
Les produits nets de l’émission des Titres seront affectés aux besoins généraux de
financement de l’Emetteur. Ces produits pourront être utilisés pour maintenir des
positions sur des contrats d’options ou des contrats à terme ou d’autres instruments de
couverture.
E.3
Modalités et
conditions de
l’offre
Cette émission de Titres est offerte dans le cadre d’une Offre Non Exemptée en Italie.
Intérêt de
personnes
physiques et
morales pouvant
influer sur
l’émission/l’offre
L'Offrant Autorisé paiera certaines commissions. Voir l'Elément C.18 ci-dessus.
Dépenses
facturées à
l’investisseur par
l’Emetteur
Il n’existe pas de dépenses facturées à l’investisseur par l’Emetteur.
E.4
E.7
Le prix d’émission par Titre est fixé à 100 EUR.
Exception faite de ce qui est mentionné ci-dessus, et à l'exception de tout conflit
d'intérêts potentiel qui pourrait découler du fait que l'Emetteur et/ou le Garant et leurs
affiliés (i) ont accepté différents rôles liés aux Certificats, y compris en qualité
d'Emetteur des Certificats, Agent de Calcul des Certificats, émetteur, sponsor, ou agent
de calcul du (ou des) Sous-Jacent(s) de référence, (ii) sont engagés dans des opérations
commerciales (y compris des opérations de couverture) liées au Sous-Jacent de
Référence ou à d'autres instruments ou produits dérivés basés sur ou liés au Sous-Jacent
de Référence, (iii) émettent d'autres instruments dérivés relativement au Sous-Jacent de
Référence et (iv) agissent pour un certain nombre de différentes qualités relativement au
Sous-Jacent, y compris mais pas uniquement, vis-à-vis des émetteurs des constituantes
du Sous-Jacent de Référence, sponsor de l'indice ou agent de calcul, à la connaissance de
l’Emetteur, aucune personne intervenant dans l’émission des Titres ne détient un intérêt
pouvant influer sensiblement sur l’offre, y compris des conflits d'intérêts.
54
RISK FACTORS
Prospective purchasers of the Securities offered hereby should consider carefully, among other things and in
light of their financial circumstances and investment objectives, all of the information in this Prospectus and, in
particular, the risk factors set forth below (which the Issuer, in its reasonable opinion, believes represents or
may represent the risk factors known to it which may affect the Issuer's ability to fulfil its obligations under the
Securities) in making an investment decision. Investors may lose the value of their entire investment in certain
circumstances.
RISKS RELATING TO BNPP AND ITS INDUSTRY
See the Chapter 5 ("Risks and Capital Adequacy") of the BNPP 2014 Registration Document (as defined
below), each of which is incorporated by reference in this Prospectus and which discloses all material risks
relating to BNPP's ability to fulfil its obligations under the Securities.
RISK FACTORS RELATING TO BNPP B.V.
BNPP B.V. is an operating company. BNPP B.V.'s sole business is the raising and borrowing of money by
issuing securities such as Notes, Warrants or Certificates or other obligations. BNPP B.V. has, and will have,
no assets other than hedging agreements (OTC contracts mentioned in the Annual Reports), cash and fees
payable to it, or other assets acquired by it, in each case in connection with the issue of securities or entry into
other obligations related thereto from time to time. BNPP B.V. has a small equity and limited profit base. The
net proceeds from each issue of securities issued by BNPP B.V. will become part of the general funds of BNPP
B.V. BNPP B.V. uses such proceeds to hedge its market risk by acquiring hedging instruments from BNP
Paribas and BNP Paribas entities and/or, in the case of Secured Securities, to acquire Collateral Assets. The
ability of BNPP B.V. to meet its obligations under securities issued by it will depend on the receipt by it of
payments under the relevant hedging agreements. Consequently, Holders of BNPP B.V. securities will, subject
to the provisions of the Guarantee issued by BNP Paribas, be exposed to the ability of BNP Paribas and BNP
Paribas entities to perform their obligations under such hedging agreements.
RISK FACTORS RELATING TO SECURITIES
See "Risk Factors relating to Securities" which are incorporated by reference on page 58 (Documents
incorporated by reference).
Prospective purchasers should carefully consider the information set out in the section entitled "Description of
BNP Paribas MultiAsset D Index".
Investors in Certificates should also appreciate that the Issuer and its affiliates may (i) engage in trading
activities (including hedging activities) related to the Underlying Reference and its components (for the purpose
of this paragraph only, the "Underlying") and other products based on or related to such Underlying for their
own account or for other accounts under their management, (ii) issue other derivative products in respect of
Underlying, (iii) act as underwriter in connection with future offerings of shares or other securities related to the
Certificates or may act as a financial adviser or in a banking capacity to companies whose shares/securities are
part of the Underlying. Such activities could present certain conflicts of interest, could influence the prices of
such shares/securities in the Underlying and could adversely affect the value of such Certificates.
Lastly, unlike ordinary debt securities, the Certificates do not pay interest. The Certificates have been designed
for investors who are willing to forgo market interest payments on the Certificates in exchange for the Cash
Settlement Amount.
55
DOCUMENTS INCORPORATED BY REFERENCE
This Prospectus should be read and construed in conjunction with the following documents which have been
previously published or are published simultaneously with this Prospectus and that have been filed with the
AMF for the purpose of the Prospectus Directive, and shall be incorporated in, and form part of, this Prospectus:
(a)
the Base Prospectus dated 9 June 2015 which received visa n°15-262 from the AMF on 9 June 2015
prepared in relation to the Programme (the "Base Prospectus") including, for the avoidance of doubt,
pages 125 to 196 (Risk Factors) but excluding pages 1399 to 1408 (General Information). Any
reference in this Prospectus or in the information incorporated by reference to these documents will be
deemed to include this document excluding the pages referred above only. The documents listed in
paragraphs (b) to (q) below are incorporated by reference in the Base Prospectus;
(b)
the first supplement to the Base Prospectus dated 6 August 2015 which received visa n°15-443 from
the AMF on 6 August 2015 (the "First Supplement");
(c)
the second supplement to the Base Prospectus dated 10 September 2015 which received visa n°15-478
from the AMF on 10 September 2015 (the "Second Supplement");
(d)
the third supplement to the Base Prospectus dated 8 October 2015 which received visa n°15-520 from
the AMF on 8 October 2015 (the "Third Supplement")
(e)
the statutory annual reports for 2013 (the "2013 BNPP B.V. Annual Report") and 2014 (the "2014
BNPP B.V. Annual Report") which include, respectively, the audited annual non-consolidated
financial statements of BNP Paribas BNPP B.V. as at, and for the years ended, 31 December 2013 and
31 December 2014 (the "BNPP B.V. 2013 Financial Statements" and the "BNPP B.V. 2014
Financial Statements" respectively) and the respective auditors' reports thereon;
(f)
BNPP's document de référence et rapport financier annuel in English for 2013 including the
consolidated financial statements for the year ended 31 December 2013 and the statutory auditor’s
report thereon other than Chapter 7 (A Responsible Bank: Information on BNP Paribas' Economic,
Social, Civic and Environmental Responsibility), the sections entitled "Person Responsible for the
Registration Document" and the "Table of Concordance" and any reference to a completion letter
(lettre de fin de travaux) therein (the "BNPP 2013 Registration Document");
(g)
BNPP's document de référence et rapport financier annuel in English for 2014 including the
consolidated financial statements for the year ended 31 December 2014 and the statutory auditor’s
report thereon other than Chapter 7 (A Responsible Bank: Information on BNP Paribas' Economic,
Social, Civic and Environmental Responsibility), the sections entitled "Person Responsible for the
Registration Document" and the "Table of Concordance" and any reference to a completion letter
(lettre de fin de travaux) therein (the "BNPP 2014 Registration Document");
(h)
the BNPP Actualisation du Document de réference 2014 déposée auprès de l'AMF le 30 avril 2015 (in
English) other than the sections entitled "Person Responsible for the Update to the Registration
Document", and the "Table of Concordance" (the "First Update to the BNPP 2014 Registration
Document");
(i)
the BNPP's Actualisation du Document de référence 2014 et rapport financier semestriel déposée
auprès de l'AMF le 3 août 2015 (in English) (other than the sections entitled "Persons Responsible for
the Update to the Registration Document" and the "Table of Concordance") (the "Second Update to
the BNPP 2014 Registration Document"); and
(j)
the unaudited interim financial statements for the six months period ended 30 June 2015 of BNPP B.V.
(including the review report thereon issued by Mazars Paardekooper Hoffman Accountants N.V.
represented by J.C. Van Oldenbeek) (the "BNPP B.V. Interim Financial Statements").
56
save that any statement contained herein or in a document which is deemed to be incorporated by reference
herein shall be deemed to be modified or superseded for the purpose of this Prospectus to the extent that such
statement is inconsistent with a statement contained in this Prospectus or any supplement to this Prospectus.
Any non-incorporated parts of a document referred to herein are either deemed not relevant for an investor
or are otherwise covered elsewhere in this Prospectus.
The information incorporated by reference above is available as follows:
Information Incorporated by Reference
Reference
BNP PARIBAS
BNPP 2013 Registration Document
Profit and loss account for the year ended 31
December 2013
Page 124 of the BNPP 2013 Registration Document
Statement of net income and changes in assets and
liabilities recognised directly in equity
Balance sheet at 31 December 2013
Cash flow statement for the year ended 31 December
2013
Statement of changes in shareholders' equity between 1
January 2012 and 31 December 2013
Pages 128 to 129 of the BNPP 2013 Registration
Document
Notes to the financial statements prepared in
accordance with International Financial Reporting
Standards as adopted by the European Union
Document
Statutory Auditors' report on the Consolidated
Financial Statements of BNP Paribas for the year
ended 31 December 2013
Document
Chapter 5 ("Risks and Capital Adequacy")
Document
Extracts of Annex XI of the European Regulation 809/2004/EC of 29 April 2004
3. Risk Factors
3.1. Prominent disclosure of risk factors that may
affect the Guarantor's ability to fulfil its obligations
under the securities to investors in a section headed
"Risk Factors".
Document
4. Information about the Guarantor
4.1. History and development of the Guarantor
57
4.1.1. The legal and commercial name of the Guarantor
4.1.2. The place of registration of the Guarantor and its
registration number;
4.1.3. The date of incorporation and the length of life
of the Guarantor, except where indefinite;
4.1.4.
Pages 487 and 506 (back cover) of the BNPP 2014
Registration Document
- the domicile and legal form of the Guarantor,
- the legislation under which the Guarantor operates,
- its country of incorporation, and
- the address and telephone number of its registered
office (or principal place of business if different from
its registered office).
4.1.5. Any recent events particular to the Guarantor
which are to a material extent relevant to the
evaluation of the Guarantor’s solvency.
5. Business Overview
Pages 6 to 15, 168 to 171 and 480 to 486 of the BNPP
2014 Registration Document
5.1.1. A brief description of
- the Guarantor’s principal activities stating,
- the main categories of products sold and/or services
performed.
5.1.2. An indication of any significant new products
and/or activities.
Pages 6 to 15, 168 to 171 and 480 to 486 of the BNPP
5.1.3. A brief description of the principal markets in
which the Guarantor competes.
Page 6 to 15; 168 to 171 and 480 to 486 of the BNPP
5.1.4. The basis for any statements in the registration
document made by the Guarantor regarding its
competitive position.
Document
6. Organisational Structure
6.1. If the Guarantor is part of a group, a brief
description of the group and of the Guarantor's position
within it.
6.2. If the Guarantor is dependent upon other entities
within the group, this must be clearly stated together
with an explanation of this dependence.
Pages 231 to 239 and 417 to 419 and Page 478 of the
58
8. Profit Forecasts or Estimates
Document
8.1. A statement setting out the principal assumptions
upon which the Guarantor has based its forecast, or
estimate.
There must be a clear distinction between assumptions
about factors which the members of the administrative,
management or supervisory bodies can influence and
assumptions about factors which are exclusively
outside the influence of the members of the
administrative, management or supervisory bodies; be
readily understandable by investors; be specific and
precise; and not relate to the general accuracy of the
estimates underlying the forecast.
N/A
8.2. A report prepared by independent accountants or
auditors stating that in the opinion of the independent
accountants or auditors the forecast or estimate has
been properly compiled on the basis stated, and that the
basis of accounting used for the profit forecast or
estimate is consistent with the accounting policies of
the Issuer.
Where financial information relates to the previous
financial year and only contains non-misleading
figures substantially consistent with the final figures to
be published in the next annual audited financial
statements for the previous financial year, and the
explanatory information necessary to assess the
figures, a report shall not be required provided that the
prospectus includes all of the following statements:
(a)
the person responsible for this financial
information, if different from the one which is
responsible for the prospectus in general, approves that
information;
(b)
independent accountants or auditors have
agreed that this information is substantially consistent
with the final figures to be published in the next annual
audited financial statements;
(c)
this financial information has not been
audited.
N/A
8.3. The profit forecast or estimate must be prepared
on a basis comparable with the historical financial
information.
59
9. Administrative, Management, and Supervisory
Bodies
Pages 30 to 45 and 104 of the BNPP 2014 Registration
Document
9.1. Names, business addresses and functions in the
Guarantor of the members of the administrative,
management or supervisory bodies, and an indication
of the principal activities performed by them outside
the Guarantor where these are significant with respect
to that Guarantor:
(a) members of the administrative, management or
supervisory bodies;
(b) partners with unlimited liability, in the case of a
limited partnership with a share capital.
Pages 45 to 73 and 77 of the BNPP 2014 Registration
Document
9.2. Administrative, Management, and Supervisory
bodies conflicts of interests.
Potential conflicts of interests between any duties to
the issuing entity of the persons referred to in item 9.1
and their private interests and or other duties must be
clearly stated.
In the event that there are no such conflicts, make a
statement to that effect.
10. Major Shareholders
10.1. To the extent known to the Guarantor, state
whether the Guarantor is directly or indirectly owned
or controlled and by whom, and describe the nature of
such control, and describe the measures in place to
ensure that such control is not abused.
Pages 16 and 17 of the BNPP 2014 Registration
Document
10.2. A description of any arrangements, known to the
Guarantor, the operation of which may at a subsequent
date result in a change in control of the Guarantor.
2014 FINANCIAL STATEMENTS
Profit and loss account for the year ended 31
December 2014
Statement of net income and changes in assets and
liabilities recognised directly in equity
Balance sheet at 31 December 2014
Cash flow statement for the year ended 31 December
2014
Statement of changes in shareholders' equity between 1
January 2013 and 31 December 2014
Document
60
Notes to the financial statements prepared in
accordance with International Financial Reporting
Standards as adopted by the European Union
Document
Statutory Auditors' report on the Consolidated
Financial Statements of BNP Paribas for the year
ended 31 December 2014
Document
Chapter 5 ("Risks and Capital Adequacy")
Document
First Update to the BNPP 2014 Registration Document
Quarterly Financial Information
Pages 4 to 65 of the First Update to the BNPP 2014
Additional Information
Pages 68 to 81 of the First Update to the BNPP 2014
Statutory Auditors
Page 82 of the First Update to the BNPP 2014
Second Update to the BNPP 2014 Registration Document
1.
Pages 3 to 67 of the Second Update to the BNPP 2014
Half year management report
1.1
Group presentation
Page 3 of the Second Update to the BNPP 2014
1.2
2015 first half results
Pages 4 to 67 of the Second Update to the BNPP 2014
1.3
Long term and short term credit ratings
1.4
Related parties
1.5
Risk factors
1.6
Recent events
3.
Financial information as at 30 June 2015
Pages 68 to 149 of the Second Update to the BNPP
3.1
Consolidated financial report as at 30 June 2015
Profit and loss account for the first half of 2015
Statement of net income and changes in assets
and liabilities recognised directly in equity
61
Balance sheet at 30 June 2015
Cash flow statement for the first half of 2015
Statement of changes in shareholders' equity
between 1 January 2014 and 30 June 2015
Pages 74 and 75 of the Second Update to the BNPP
Notes to the financial statements (prepared in
accordance with IFRS as adopted by the
European Union)
3.2
Statutory auditors' review report on the 2015
interim financial information
Pages 150 and 151 of the Second Update to the BNPP
5.
Additional information
5.1
Ownership structure at 30 June 2015
5.2
Changes in BNP Paribas' capital
5.5
Significant changes
5.6
Trends
BNP PARIBAS ARBITRAGE ISSUANCE B.V.
2013 BNPP B.V. Annual Report
Managing Director's Report
Pages 3 to 4 of the 2013 BNPP B.V. Annual Report
Balance Sheet at 31 December 2013
Page 5 of the 2013 BNPP B.V. Annual Report
Profit & Loss Account for the year ended 31 December
2013
Cashflow Statement for the year ended 31 December
2013
Shareholder's equity
Notes/Other Information
Auditor's Report of the Financial Statements of BNPP
B.V. for the year ended 31 December 2013
2014 BNPP B.V. Annual Report
Managing Director's Report
Balance Sheet at 31 December 2014
62
Profit & Loss Account for the year ended 31
December 2014
Cashflow Statement for the year ended 31 December
2014
Notes/Other Information
Auditor's Report of the Financial Statements of BNPP
B.V. for the year ended 31 December 2014
BNPP B.V. Interim Financial Statements
Managing Director’s Report
Pages 3 to 4 of the BNPP B.V. Interim Financial
Statements
Balance Sheet
Page 5 of the BNPP B.V. Interim Financial Statements
Profit and loss account
Cash flow statement
Notes to the Financial Statements
Pages 9 to 16 of the BNPP B.V. Interim Financial
Statements
Other Information
Page 17 of the BNPP B.V. Interim Financial
Statements
Review Report
Page 18 of the BNPP B.V. Interim Financial
Statements
Base Prospectus
All pages of the Base Prospectus except pages 1399 to 1408 (General Information).
Supplements to the Base Prospectus
All pages.
Information contained in the documents incorporated by reference other than information listed in the tables
above is for information purposes only.
The Issuer will provide, free of charge, to each person to whom a copy of this Prospectus has been delivered,
upon the oral or written request of such person, a copy of any or all of the documents which are incorporated
herein by reference in (a) to (d) above. Each of the documents incorporated by reference in (e) to (j) above will
only be made available by the Issuer and the Guarantor to which such document relates. Written or oral
requests for such documents should be directed to the Issuer at its principal office set out at the end of this
Prospectus.
In addition, copies of any documents incorporated by reference will be made available, free of charge, by BNP
Paribas Securities Services, Luxembourg Branch and BNP Paribas Arbitrage S.N.C. Requests for such
documents should be directed to the specified office of such Agents. Such documents will, along with this
63
Prospectus,
be
available
for
viewing
via
globalmarkets.bnpparibas.com/gm/Public/LegalDocs.aspx).
64
the
website
of
BNPP
(https://rates-
ECONOMIC TERMS AND CONDITIONS
PART A – CONTRACTUAL TERMS
The terms and conditions of the Securities comprise the Terms and Conditions of the W&C Securities and
Annex 2 – Additional Terms and Conditions for Index Securities each as contained in the Base Prospectus
incorporated by reference in this Prospectus (the "Conditions") as amended and supplemented by the economic
terms and conditions below (the "Economic Terms and Conditions"). Terms defined in the Conditions shall
have the same meaning in the Economic Terms and Conditions. References in the Conditions to "applicable or
relevant Final Terms" shall, for the purposes of the issue of the Securities, be deemed to refer to the "Economic
Terms and Conditions". Terms used herein but not otherwise defined shall have the meanings ascribed to them
in the Conditions.
SPECIFIC PROVISIONS FOR THE SECURITIES
Series Number
No. of Securities
issued/
No. of Securities
ISIN
Common Code
Issue Price per
Security
Redemption Date
CE2850PRI
Up to 1,000,000
XS1251223530
125122353
EUR 100
7 December 2020
1.
Issuer:
2.
Guarantor:
BNP Paribas.
3.
Trade Date:
25 November 2015.
4.
Issue Date:
30 November 2015.
5.
Consolidation:
Not applicable.
6.
Type of Securities:
(a)
Certificates.
(b)
The Securities are Index Securities.
Exercise of Certificates applies to the Certificates. The Exercise Date is
30 November 2020 or, if such day is not a Business Day, the immediately
succeeding Business Day.
The Exercise Date will be subject to the same adjustments provided for
the Redemption Valuation Date.
The minimum number of Securities that may be exercised by the Holder
is (1) one Security and in excess thereof by multiples of (1) one Security.
The provisions of Annex 2 (Additional Terms and Conditions for Index
Securities) shall apply.
7.
Form of Securities:
Clearing System Global Security.
8.
Business Day Centre(s):
The applicable Business Day Centre for the purposes of the definition
of "Business Day" in Condition 1 is TARGET2 Settlement Day.
9.
Settlement:
Settlement will be by way of cash payment (Cash Settled Securities).
10.
Rounding Convention for Cash
Settlement Amount:
Not applicable.
11.
Variation of Settlement:
Not applicable.
65
12.
Final Payout:
Unless previously redeemed or purchased and cancelled by the Issuer,
each Certificate will be redeemed by the Issuer by payment of a Cash
Settlement Amount equal to:
[
(
(
)
NA × Max 80% × Max 100%; DBMaxFinal ; DBFinal
)]
"DBFinal" is the Dynamic Basket Value on the Redemption Valuation
Date.
"DBMaxFinal" is the highest Dynamic Basket Value on any Custom Index
Business Day from, and including, the Strike Date to, and including, the
"Dynamic Basket" is a basket comprised of the Index and a notional cash
component. The percentage of the basket allocated to the Index and the
notional cash component shall be determined by the Calculation Agent in
accordance with the Dynamic Basket Value formula.
"Dynamic Basket Value" means the value of the Dynamic Basket on
each Scheduled Custom Index Business Day t ("DBt") computed each
time by the Calculation Agent in accordance with the following formula:

ActDays ( t −1 , t ) 
DB t = DB t −1 ×  1 − Pr otectionFe es ×
 ×
360




Index t

+ (1 − W t −1 )×  1 + Eonia
 W t −1 × Index
t −1


− DB t −1 × RW cos t t −1 − AF ×
t −1 ×
ActDays
ActDays
360
( t −1 , t )
 


( t −1 , t )
360
"DBt" is the Dynamic Basket Value on Scheduled Custom Index
Business Day t with DBt on the Strike Date (DB0) being equal to 99.00%.
"DBt-1" is the Dynamic Basket Value on Scheduled Custom Index
Business Day t-1.
"abs" means absolute value.
"Wt" is the percentage allocation of the Dynamic Basket allocated to the
Index on Scheduled Custom Index Business Day t calculated in
accordance with an allocation algorithm by the Calculation Agent.
"Wt-1" is the percentage allocation of the Dynamic Basket allocated to the
Index on each Scheduled Custom Index Business Day t-1 calculated in
accordance with an allocation algorithm by the Calculation Agent.
"Indext" is the level of the Index as published by the Index Sponsor as
determined by the Calculation Agent in respect of Scheduled Custom
Index Business Day t.
"Indext-1" is the level of the Index as published by the Index Sponsor as
determined by the Calculation Agent in respect of Scheduled Custom
Index Business Day t-1.
66
RW cos tt is the rebalancing cost calculated in accordance with the
following formula:
Wt



RW cos t t = TC × abs
Indext DBt −1 
 − Wt −1 × Index × DB 
t −1
t  where:

RW cos t0 = 0
"TC" equals 0.04 per cent.
"Protection Fees" is a percentage equal to 0.50 per cent.
"ActDayst-1,t" is the number of calendar days from, but excluding, the
Scheduled Custom Index Business Day t-1 to, and including, the
Scheduled Custom Index Business Day t.
"Eoniat-1" is the Euro Overnight Index Average rate published on Reuters
page RIC "EONIA=", on Scheduled Custom Index Business Day t-1,
provided that, if no rate is so published, the rate determined by the
Calculation Agent from such other source as it in its absolute discretion
may deem appropriate.
"Strike Date" means 30 November 2015.
Payout switch:
Not applicable.
Aggregation:
Not applicable.
13.
Relevant Assets:
Not applicable.
14.
Entitlement:
Not applicable.
15.
Exchange Rate/Conversion Rate:
Not applicable.
16.
Settlement Currency:
The settlement currency for the payment of the Cash Settlement
Amount is Euro ("EUR").
17.
Syndication:
The Securities will be distributed on a non-syndicated basis.
18.
Minimum Trading Size:
1 Certificate.
19.
Principal Security Agent:
20.
Registrar:
Not applicable.
21.
Calculation Agent:
BNP Paribas Arbitrage S.N.C., 160-162 boulevard MacDonald, 75019
Paris, France.
22.
Governing law:
English law.
23.
Masse provisions (Condition 9.4):
Not applicable.
PRODUCT SPECIFIC PROVISIONS
24.
Hybrid Securities
Not applicable.
25.
Index Securities:
Applicable.
(a)
The "Index" is the BNP Paribas MultiAsset D Index (Bloomberg
Index/Basket of Indices/
67
Index Sponsor(s):
Code: BNPIMAD).
BNP Paribas or any successor thereto is the Index Sponsor.
The BNP Paribas MultiAsset D Index is a Custom Index.
(b) Index Currency:
EUR.
(c)
Not applicable.
Exchange(s):
(d) Related Exchange(s):
Not applicable.
(e)
Exchange Business Day:
Not applicable.
(f)
Scheduled Trading Day:
Not applicable.
(g) Weighting:
Not applicable.
(h) Settlement Price:
As per Index Security Condition 8.
(i)
Specified Maximum Days of
Disruption:
The Specified Maximum Days of Disruption will be equal to twenty
(20) Scheduled Custom Index Business Days.
(j)
Valuation Time:
As per Index Security Condition 8.
(k) Delayed Redemption on
Occurrence of an Index
Adjustment Event (in the case
of Certificates only):
Not applicable.
(l)
Not applicable.
Index Correction Period:
(m) Additional provisions
applicable to Custom Indices:
(i)
Screen Page:
Applicable.
Bloomberg page BNPIMAD
(ii) Custom Index Business
Day:
Custom Index Business Day (Single Index Basis).
(iii) Scheduled Custom Index
Business Day:
Scheduled Custom Index Business Day (Single Index Basis).
(iv) Custom Index
Correction Period:
As per Conditions.
(v) Delayed Redemption on
Occurrence of a Custom
Index Adjustment Event:
Not applicable.
(vi) Custom Index Disruption
Event:
The Specified Maximum Days of Disruption will be equal to twenty
(20) Scheduled Custom Index Business Days.
(n) Additional provisions
applicable to Futures Price
Valuation:
Not applicable.
26.
Share Securities:
Not applicable.
27.
ETI Securities:
Not applicable.
28.
Debt Securities:
Not applicable.
29.
Commodity Securities:
Not applicable.
30.
Inflation Index Securities:
Not applicable.
31.
Currency Securities:
Not applicable.
68
32.
Fund Securities:
Not applicable.
33.
Futures Securities:
Not applicable.
34.
Credit Securities:
Not applicable.
35.
Underlying Interest Rate Securities:
Not applicable.
36.
Preference Share Certificates:
Not applicable.
37.
OET Certificates:
Not applicable.
38.
Additional Disruption Events:
As per Conditions.
39.
Optional Additional Disruption
Events:
(a) The following Optional Additional Disruption Events apply to the
Securities:
Increased Cost of Hedging
(b) Delayed Redemption on the Occurrence of an Additional
Disruption Event and/or Optional Additional Disruption Event:
Not applicable.
40.
Knock-in Event
Not applicable.
41.
Knock-out Event:
Not applicable.
PROVISIONS RELATING TO THE WARRANTS
42.
Provisions relating to Warrants:
Not applicable.
PROVISIONS RELATING TO THE CERTIFICATES
43.
Provisions relating to Certificates:
Applicable.
(a)
Notional Amount of each
Certificate:
EUR 100.
(b)
Partly Paid Certificates:
The Certificates are not Partly Paid Certificates.
(c)
Interest:
Not applicable.
(d)
Fixed Rate Provisions:
Not applicable.
(e)
Floating Rate Provisions:
Not applicable.
(f)
Screen Rate Determination:
Not applicable.
(g)
ISDA Determination:
Not applicable.
(h)
FBF Determination:
Not applicable.
(i)
Linked Interest Certificates:
Not applicable.
(j)
Payment of Premium
Amount(s):
Not applicable.
(k)
Index Linked Interest
Certificates:
Not applicable.
(l)
Share Linked Interest
Certificates:
(m) ETI Linked Interest
Certificates:
Not applicable.
Not applicable.
69
(n)
Debt Linked Interest
Certificates:
(o)
Commodity Linked Interest
Certificates:
Not applicable.
(p)
Inflation Index Linked Interest
Certificates:
Not applicable.
(q)
Currency Linked Interest
Certificates:
Not applicable.
(r)
Fund Linked Interest
Certificates:
Not applicable.
(s)
Futures Linked Interest
Certificates:
Not applicable.
(t)
Underlying Interest Rate
Linked Interest Provisions:
Not applicable.
(u)
Instalment Certificates:
The Certificates are not Instalment Certificates.
(v)
Issuer Call Option:
Not applicable.
(w) Holder Put Option:
Not applicable.
(x)
Automatic Early Redemption:
Applicable.
(i)
If, on any Automatic Early Redemption Valuation Date t, the percentage
allocation (Wt (as defined in paragraph 12 (above)) of the Dynamic
Basket to the Index is equal to 0 (zero), as determined by the Calculation
Agent, the Issuer shall redeem each Certificate on the corresponding
Automatic Early Redemption Date at the Automatic Early Redemption
Amount.
Automatic Early
Redemption Event:
Not applicable.
"t" means a Scheduled Custom Index Business Day.
(ii)
Automatic Early
Redemption Payout:
The Automatic Early Redemption Amount will be equal to:
[ (
(
)
NA × Max 80 % × Max 100 %; DB Max Early ; DB Early
)]
"DBEarly" is the Dynamic Basket Value (as defined in paragraph 12
above) on the Automatic Early Redemption Valuation Date.
"DBMaxEarly" is the highest Dynamic Basket Value (as defined in
paragraph 12 above) on any Custom Index Business Day from, and
including, the Strike Date to, and including, the Automatic Early
(iii)
Automatic Early
Redemption Dates:
In respect of any Automatic Early Redemption Valuation Date, the
earlier of the (i) date that is one calendar month following the Automatic
Early Redemption Valuation Date and (ii) the Redemption Date.
(iv)
Observation Price
Source:
Not applicable.
(v)
Underlying Reference
Not applicable.
70
Level:
(vi)
SPS AER Valuation:
Not applicable.
(vii)
Automatic Early
Redemption Level:
Not applicable.
(viii)
Automatic Early
Redemption
Percentage:
Not applicable.
(ix)
AER Rate:
Not applicable.
(x)
AER Exit Rate:
Not applicable.
(xi)
Automatic Early
Each Scheduled Custom Index Business Day from, but excluding, the
Redemption Valuation Strike Date to, but excluding, the Redemption Valuation Date.
Dates/ Period(s):
(y)
Renouncement Notice Cut-off
Time:
Not applicable.
(z)
Strike Date:
30 November 2015.
(aa) Strike Price:
Not applicable.
(bb) Redemption Valuation Date:
30 November 2020.
(cc) Averaging:
Averaging does not apply to the Securities.
(dd) Observation Dates:
Notwithstanding the definition of such term in Index Security Condition
8, the Observation Dates are each Scheduled Custom Index Business Day
from, but excluding, the Strike Date to, and including, the earlier to occur
of an Automatic Early Redemption Valuation Date or the Exercise Date,
unless, in the opinion of the Calculation Agent, such day is a Disrupted
Day, in which case the provisions of Index Security Condition 6.2
(Modification and Cessation of Calculation of a Custom Index and
Custom Index Disruption) shall apply.
(ee) Observation Period:
Not applicable.
(ff) Settlement Business Day:
Not applicable.
(gg) Cut-off Date:
Not applicable.
(hh) Identification information of
Holders as provided by
Condition 29:
Not applicable.
DISTRIBUTION AND US SALES ELIGIBILITY
44.
U.S. Selling Restrictions:
Applicable.
(a)
Eligibility for sale of
Securities in the United
States to AIs:
The Securities are not eligible for sale in the United States to AIs.
(b)
The Securities are not eligible for sale in the United States under Rule
71
(c)
States to QIBs within the
meaning of rule 144A:
144A to QIBs.
States to QIBs within the
meaning of Rule 144A who
are also QPs within the
meaning of the Investment
Company Act:
The Securities are not eligible for sale in the United States to persons
who are QIBs and QPs.
45.
Additional U.S. Federal income tax
consequences:
Not applicable.
46.
Registered broker/dealer:
Not applicable.
47.
TEFRA C or TEFRA Not
Applicable:
TEFRA C/TEFRA Not Applicable.
48.
Non exempt Offer:
Applicable.
(i)
Non-exempt Offer
Jurisdiction:
Republic of Italy.
(ii)
Offer Period:
From, and including, 12 October 2015 until, and including, 25
November 2015, subject to any early closing or extension of the Offer
Period, as referred to in Part B, item 6.
(iii)
Financial intermediaries
granted specific consent
to use the Prospectus in
accordance
with
the
Conditions in it:
Banca Nazionale del Lavoro S.p.A. (the "Authorised Offeror").
(iv)
General Consent:
Not applicable.
(v)
Other Authorised Offeror Not applicable.
Terms:
PROVISIONS RELATING TO COLLATERAL AND SECURITY
49.
Collateral Security Conditions:
Not applicable.
72
PART B - OTHER INFORMATION
1. Listing and Admission to trading
Application will be made to list the Securities on the official list of Euronext Paris and the Euro TLX and to
admit the Securities for trading on Euronext Paris and the EuroTLX (managed by EuroTLX SIM S.p.A.). The
Issuer is not a sponsor of, nor is it responsible for, the admission and trading of the Securities on the EuroTLX
and Euronext Paris and no assurance can be given that any such application will be successful.
2. Rating
The Certificates to be issued have not been rated.
3. Interests of Natural and Legal Persons Involved in the Offer
Fees will be paid to the Authorised Offeror in respect of the issue of the Certificates in an annual amount not
greater than 1.35 per cent. of the Aggregate Notional Amount. Details of such fees are available from Banca
Nazionale del Lavoro S.p.A. upon request and are described in "Description of Fees" below.
Save as discussed in the "Potential Conflicts of Interest" paragraph in "Risk Factors" in the Base Prospectus, so
far as the Issuer is aware, no person involved in the offer of the Securities has an interest material to the offer.
4. Performance of Underlying/Formula/Other Variable and Other Information concerning the
Underlying
The Certificates are EUR denominated Certificates with a five (5) year maturity.
If neither early redeemed nor purchased and cancelled, the investor will receive a Cash Settlement Amount
linked to the performance of the Index calculated in accordance with the provisions set out in paragraph 12 of
Part A.
The Certificates are not principal protected.
Please see "Description of the Dynamic Basket – Allocation Algorithm" for a description of the allocation to the
Index within the Dynamic Basket.
The Issuer will provide post-issuance information relating to the Index and the Securities. Information on the
composition of the Index and the weightings of the components in the Index will be available on https://indicesglobalmarkets.bnpparibas.com/nr/MADTR.pdf.
Research tables relating to the Index Components in the Index will be available from the Index Calculation
Agent and Index Sponsor on request.
A daily valuation of the Securities will be available on www.prodottidiborsa.it and from the EuroTLX and
Euronext Paris.
The index methodology and the Index Rules governing
https://indices-globalmarkets.bnpparibas.com/nr/MADTR.pdf.
the
Index
will
be
available
on
5. Operational Information
Relevant Clearing System(s):
Euroclear and Clearstream Luxembourg.
6. Terms and Conditions of the Public Offer
Offer Price:
The offer price of the Certificates is 100 per cent. of their
Notional Amount (of which a maximum annual amount of
1.35 per cent is represented by fees payable to the Authorised
Offeror).
73
Conditions to which the offer is subject:
Offers of the Certificates are conditional on their issue and on
any additional conditions set out in the standard terms of
business of the Authorised Offeror, notified to investors by
such relevant Authorised Offeror.
The Issuer reserves the right to withdraw the offer and cancel
the issue of the Certificates for any reason, in agreement with
the Authorised Offeror at any time on or prior to the Issue
Date. For the avoidance of doubt, if any application has been
made by a potential investor and the Issuer exercises such
right, each such potential investor shall not be entitled to
subscribe or otherwise acquire the Certificates.
The Issuer will in its sole discretion determine the final
amount of Securities issued up to a limit of 1,000,000
Certificates. The final amount that is issued on the Issue
Date will be listed on the Multilateral Trading Facility
EuroTLX (managed by EuroTLX SIM S.p.A.) and Euronext
Paris. The final amount of the Securities issued will be
determined by the Issuer in light of prevailing market
conditions, and in its sole and absolute discretion depending
on the number of Securities which have been agreed to be
purchased as of the Issue Date.
The Offer Period may be closed early as determined by Issuer
in its sole discretion and notified on or around such earlier
date by publication on the following webpage
http://www.prodottidiborsa.com.
The Issuer reserves the right to extend the Offer Period. The
Issuer will inform of the extension of the Offer Period by
means of a notice to be published on the following webpage
http://www.prodottidiborsa.com.
Description of the application process:
Application to subscribe for the Certificates can be made in
the Republic of Italy at the offices of the Authorised Offeror
from 12 October 2015 to, and including, 25 November 2015,
or such earlier date as the Issuer determines as notified on or
around such earlier date on the following website:
www.prodottidiborsa.it. The distribution of the Certificates
will be carried out in accordance with the Authorised
Offeror’s usual procedures notified to investors by such
Authorised Offeror.
The Certificates placed through door-to-door selling pursuant
to Article 30 of the Italian Financial Services Act will be
offered from (and including) 12 October 2015 to (and
including) 18 November 2015.
Pursuant to Article 30, paragraph 6, of the Italian Financial
Services Act, the validity and enforceability of contracts
entered into through door-to-door selling is suspended for a
period of seven days after the investors’signature of the same.
Within such period investors may communicate their
withdrawal to the Authorised Offeror without any charge or
74
commission.
The Certificates will be also offered by Banca Nazionale del
Lavoro S.p.A. through recorded telephone orders. In this
case, the investor may subscribe for the Certificates via the
internet or the telephone, after being identified by the
Authorised Offeror using his/her identification codes. As
soon as the telephone call begins, the investor will be
requested to declare, among other things, that he/she has
received and read the offer documentation sent to him/her by
the Authorised Offeror and the risk factors contained therein,
and that he/she will provide all the information necessary to
the continue with the order. The Authorised Offeror, during
the telephone call, will summarise to the investor the details
of the transaction and the investor will then confirm the
correctness of such details and will give his/her consent to the
subscription of the Certificates.
The Authorised Offeror is responsible for the notification of
any withdrawal right applicable in relation to the offer of the
Securities to potential investors.
Prospective investors will not be required to enter into any
contractual arrangements directly with the Issuer in relation
to the subscription for the Certificates.
Applicants having no client relationship with the Authorised
Offeror with whom the acceptance form is filed may be
required to open a current account or to make a temporary noninterest bearing deposit of an amount equal to the counter-value
of the Securities requested, calculated on the basis of the Issue
Price of the Securities. In the event that the Securities are not
allotted or only partially allotted, the total amount paid as a
temporary deposit, or any difference with the counter-value of
the Securities allotted, will be repaid to the applicant without
charge by the Issue Date.
By purchasing the Securities, the holders of the Securities are
deemed to have knowledge of all the Conditions of the
Securities and to accept said Conditions.
Applications received by the Authorised Offeror prior to the
start of the Offer Period or after the closing date of the Offer
Period, will be considered as not having been received and
will be void.
Details of the minimum and/or maximum
amount of application:
Minimum subscription amount per investor: 1 Certificate.
Maximum subscription amount per investor: 1,000,000
Certificates.
The maximum amount of application of Certificates will be
subject only to availability at the time of the application.
Description of possibility to reduce
Not applicable.
75
subscriptions and manner for refunding
excess amount paid by applicants:
Details of the method and time limits for
paying up and delivering the Securities:
The Certificates will be issued on the Issue Date against
payment to the Issuer of the net subscription moneys.
Investors will be notified by the relevant Authorised Offeror
of their allocations of Certificates and the settlement
arrangements in respect thereof.
Manner and date in which results of the
offers are to be made public:
The results of the offer are available for viewing at, and
copies may be obtained from, BNP Paribas Arbitrage S.N.C.
(in its capacity as Principal Security Agent), 160-162
boulevard MacDonald, 75019 Paris, France and/or on the
website www.prodottidiborsa.it on or around 25 November
2015.
Procedure for exercise of any right of preemption, negotiability of subscription rights
and treatment of subscription rights not
exercised:
Not applicable.
Process for notification to applicants of the
amount allotted and the indication whether
dealing may begin before notification is
made:
There are no pre-identified allotment criteria.
The Authorised Offeror will adopt allotment criteria that ensure
equal treatment of prospective investors. All of the Securities
requested through the Authorised Offeror during the Offer
Period will be assigned up to the maximum amount of the Offer.
In the event that during the Offer Period the requests exceed the
number of Securities to be issued, the Issuer will terminate the
Offer Period and suspend the acceptance of further requests.
Each investor will be notified by the Authorised Offeror of its
allocation of Securities after the end of the Offer Period and in
any event on or around the Issue Date.
No dealings in the Certificates may take place prior to the
Issue Date.
Amount of any expenses and taxes
specifically charged to the subscriber or
purchaser:
The Issuer is not aware of any expenses and taxes specifically
charged to the subscriber.
For the Offer Price which includes the commissions payable
to the Authorised Offeror see above "Offer Price".
7. Placing and Underwriting:
Name and address of the co-ordinator of the
global offer and of single parts of the offer:
Name and address of any paying agents and
depository agents in each country (in
addition to the Principal Paying Agent):
Banca Nazionale del Lavoro S.p.A. of Via V. Veneto 119,
00187 Rome, Italy.
Not applicable.
76
Entities agreeing to underwrite the issue on a The placement activity will be carried out by:
firm commitment basis, and entities agreeing
Banca Nazionale del Lavoro S.p.A. of Via V. Veneto 119,
to place the issue without a firm commitment
00187 Rome, Italy.
or under "best efforts" arrangements:
No underwriting commitment is undertaken by the Authorised
Offeror.
When the underwriting agreement has been
or will be reached:
Not applicable.
77
DESCRIPTION OF BNP PARIBAS MULTIASSET D INDEX
General
The BNP Paribas MultiAsset D Index (the "Index") is a euro (the "Index Currency") denominated Index. The
objective of the Index is to provide synthetic exposure to the performance of a basket of Exchange Traded
Products ("ETP") Component Types including reinvestment of any dividends or distributions thereon where the
weighting of each ETP Component is rebalanced daily in accordance with a proprietary allocation algorithm
aimed at maximizing return for a predetermined level of risk. The performance of any ETP which is not
denominated in EUR may be converted from its domestic currency into EUR in the manner described in
subsection 3.1 of Section 3 (Calculation of the Index Level and Publication of the Index Level) of the Index
Rules.
The Index was established based on historical backtesting on 30 December 2014 (the "Index Start Date") with
an initial level of 100.00 index points (the "Initial Index Level").
The methodology of the Index is set out in Section 6 (Index Methodology) of the Index Rules.
"Index Components" has the meaning given to it in the Index Rules.
"Index Rules" means the rules relating to the Index which can be obtained from: https://indicesglobalmarkets.bnpparibas.com/nr/MADTR.pdf
The Index is a "Total Return" index. As a consequence, the level of the index reflects a value assuming
reinvestment of all dividends and distributions declared.
The Index is calculated, maintained, rebalanced and published by BNP Paribas Arbitrage SNC (the "Index
Calculation Agent") and sponsored by BNP Paribas (the "Index Sponsor"). The Index is calculated and
published on a daily basis by the Index Calculation Agent. The Index Sponsor has not appointed an index
investment advisor in respect of the Index.
Volatility Control Mechanism
In order to control the volatility risks associated with the Index, a volatility control mechanism is built in. When
the Index Calculation Agent determines that the volatility of the Index has exceeded the maximum volatility
target (the "Maximum Volatility Target") of 10.00%, then the exposure of the Index to certain of the Index
Components will be reduced and a corresponding portion of the Index will reference money market assets, with
the aim of maintaining the volatility of the Index below the Maximum Volatility Target. Transaction costs
incurred in these rebalancings due to the volatility control mechanism will be reflected in the published Index
level and are predetermined.
Index Costs
Certain costs are deducted from the Index level, which cover, amongst other things, replication and repo costs
associated in running the Index that may vary over time in line with prevailing market conditions. As at the date
of the Index Rules, these costs are set out in Section 6.4 (Cost Calculations) of the Index Rules. The level of
such costs has been determined by the Index Sponsor, acting in a commercially reasonable manner and will be
displayed on Internet page https://indices-globalmarkets.bnpparibas.com, or any successor pages thereto, and on
any other data provider as the Index Sponsor deems appropriate.
78
Composition of the Index
On the Index Start Date, the Index was comprised of components of the type (each an "Index Component Type")
and currency denomination set out in the table below:
Name
SP 500 THEAM
Easy UCITS ETF C
EUR
Index
Compone
nt Type
ISIN
Bloomberg
Page
Currency
Exchange
ESE FP
Equity
EUR
Euronext Paris
Exchange
Traded
Product
("ETP")
FR0011550185
2
STOXX Europe 600
THEAM Easy
UCITS ETF C
ETP
FR0011550193
ETZ FP
Equity
EUR
Euronext Paris
3
Amundi ETF FTSE
Mib UCITS ETF
ETP
FR0010892208
FMI FP
Equity
EUR
Euronext Paris
4
Amundi ETF Japan
Topix Eur Hedged
Daily UCITS ETF
ETP
FR0011314277
TPXH FP
Equity
EUR
Euronext Paris
5
Amundi ETF MSCI
Emerging Markets
UCITS ETF
ETP
FR0010959676
AEEM FP
Equity
EUR
Euronext Paris
6
iShares 7-10 Year
Treasury Bond ETF
ETP
US4642874402
IEF UP
Equity
USD
NYSE ARCA
7
iShares 3-7 Year
Treasury Bond ETF
ETP
US4642886612
IEI UP Equity
USD
NYSE ARCA
8
iShares 1-3 Year
Treasury Bond ETF
ETP
US4642874576
SHY UP
Equity
USD
NYSE ARCA
9
SPDR Barclays
International
Treasury Bond ETF
ETP
US78464A5166
BWX UP
Equity
USD
NYSE ARCA
10
iShares TIPS Bond
ETP
US4642871762
TIP UP
USD
NYSE ARCA
1
79
ETF
Equity
11
Amundi ETF Govt
Bond Euromts
Broad Investment
Grade 1-3 UCITS
ETF
ETP
FR0010754135
C13 FP
Equity
EUR
Euronext Paris
12
Amundi ETF Govt
Bond Euromts
Broad Investment
Grade 3-5 UCITS
ETF C
ETP
FR0010754168
C33 FP
Equity
EUR
Euronext Paris
13
Amundi ETF Govt
Bond Euromts
Broad Investment
Grade 5-7 UCITS
ETF C
ETP
FR0010754176
C53 FP
Equity
EUR
Euronext Paris
14
Amundi ETF Govt
Bond Euromts
Broad Investment
Grade 7-10 UCITS
ETF C
ETP
FR0010754184
C73 FP
Equity
EUR
Euronext Paris
15
Amundi ETF Govt
Bond Lowest Rated
Euromts Investment
Grade UCITS ETF
C
ETP
FR0010892190
X1G FP
Equity
EUR
Euronext Paris
16
iShares Euro
Inflation Linked
Government Bond
UCITS ETF
ETP
IE00B0M62X26
IBCI NA
Equity
EUR
Euronext
Amsterdam
17
iShares iBoxx $
Investment Grade
Corporate Bond
ETF
ETP
US4642872422
LQD UP
Equity
USD
NYSE ARCA
18
iShares Core Euro
Corporate Bond
UCITS ETF
ETP
IE00B3F81R35
IEAC LN
Equity
EUR
London Stock
Exchange
19
iShares Euro High
ETP
IE00B66F4759
IHYG LN
EUR
London Stock
80
Yield Corporate
Bond UCITS ETF
EUR
20
SPDR Barclays
High Yield Bond
ETF
21
Market Vectors
Emerging Markets
Local Currency
Bond ETF
22
23
Equity
Exchange
US78464A4177
JNK UP
Equity
USD
NYSE ARCA
ETP
US57060U5222
EMLC UP
Equity
USD
NYSE ARCA
iShares JP Morgan
USD Emerging
Markets Bond ETF
ETP
US4642882819
EMB UP
Equity
USD
NYSE ARCA
SPDR Barclays
Convertible
Securities ETF
ETP
US78464A3591
CWB UP
Equity
EUR
NYSE ARCA
On any day, the current
globalmarkets.bnpparibas.com.
ETP
composition
of
the
Index
will
be
available
on
https://indices-
Following the Index Start Date, the composition of the Index may be adjusted from time to time by the Index
Calculation Agent in such manner as the Index Sponsor deems appropriate in accordance with the Index Rules,
in particular following the occurrence of an Extraordinary ETP Event (as defined in the Index Rules).
81
DESCRIPTION OF THE DYNAMIC BASKET – ALLOCATION ALGORITHM
The Allocation Algorithm
Re-allocation
within
Dynamic Basket
the
Target Allocation Computation
On each Scheduled Custom Index Business Day t, following the
determination of the Dynamic Basket Value, the percentage allocation
("Wt") of the Dynamic Basket to the Index will be, if required, adjusted by
the Calculation Agent in accordance with the process described below.
On each Scheduled Custom Index Business Day t, the Calculation Agent will
calculate the Target Allocation ("Wtg(t)") of the Dynamic Basket to the
Index, defined as a function of the distance Dt and the Multiplier as follows:
DBt − 80% × Max(100%, DBmax(t ) ) 

Wtg (t ) = Max 0%,
× L  where:
DBt


"L" equals 5.00
Distance
On each Scheduled Custom Index Business Day t, the Distance (Dt) is
determined by the Calculation Agent as follows:
Dt =
(
DB t − 80 % × Max 100 %; DB max( t )
)
DB t
DBmax(t) is the highest Dynamic Basket Value on any Scheduled Custom
Index Business Day between the Strike Date (included) and the Scheduled
Custom Index Business Day t (included).
DBt is the Dynamic Basket Value on Scheduled Custom Index Business Day
t with DBt on the Strike Date (DB0) being equal to 99.00%.
Multiplier
L=5.00
Reallocation Process
1. If Wt ≠ 0 and Dt ≤ 2%
then the Calculation Agent will reduce the Dynamic Basket allocation to the
Index to 0% on Scheduled Custom Index Business Day t+1 such that
W t +1 =0%, no further allocation to the Index will be made and the
Certificates will be automatically early redeemed with Scheduled Custom
Index Business Day t+1 being the Automatic Early Redemption Valuation
Date (as defined above).
2. If Wt ≠ 0 and Dt > 2% either:
(i) If
Wt is less
than 90% of, or greater than 110% of
Wtg (t ) ,
the
Calculation Agent will change the Dynamic Basket allocation to
the Index, such that
(ii) If
Wt +1 = Min(100%,Wtg (t ) ) ; otherwise
Wt is greater than or equal to 90% but less than or equal to
82
110% of
Wtg (t ) , then Wt +1 = Wt .
3. Otherwise ( Wt = 0 ), there will be no re-allocation on Scheduled Custom
Index Business Day (Single Index Basis) t+1 ( Wt +1 =0),
(
W0 = Min100%,Wtg (0)
83
)
= [5*19%/99% =95.95%]
DESCRIPTION OF FEES
A number of fees are payable in connection with the Certificates.
The following fees are payable to the Authorised Offeror:
- an upfront fee of 1.00 per cent (which is deducted from the initial value of the Dynamic Basket); and
- a running fee (the "Running Fee") which will be paid quarterly on each Running Fee Payment Date j for the
monitoring of the structure of the Index and Certificates which is calculated as follows:
"RDFj" means
 RDFD j
Act ( n − 1, n ) 
AF × ONA n ×
 ∑

360
 n = RDFD j −1 +1

"RDFDj" is
is the Running Fee Observation Date j.
"RDFDj-1"
is the Running Fee Observation Date preceding the Running Fee
Observation Date j, being the Strike Date for j=1.
"Running Fee Period j"
is each Observation Date from, but excluding, RDFDj-1 to, and including,
RDFDj.
"n"
is an Observation Date in the Running Fee Period j.
"n-1"
is the Observation Date immediately preceding the Observation Date n.
"AF"
is a percentage equal to 1.15 per cent.
"Act(n-1,n)"
is the actual number of calendar days in the period from, but excluding, n-1
to, and including, n.
"Observation Date"
means each Scheduled Custom Index Business Day from, but excluding,
the Strike Date to, and including, the earlier to occur of an Automatic Early
Redemption Valuation Date or the Exercise Date.
"ONAn"
means the outstanding Notional Amount on the Observation Date n of
Certificates held by investors other than the Issuer or one of its affiliates,
except if such affiliate is Banca Nazionale del Lavoro S.p.A.
j
Running Fee Observation
Date
Running Fee Payment Date
1
29 February 2016
7 March 2016
2
31 May 2016
6 June 2016
3
31 August 2016
5 September 2016
4
30 November 2016
7 December 2016
5
28 February 2017
7 March 2017
6
31 May 2017
7 June 2017
7
31 August 2017
7 September 2017
8
30 November 2017
7 December 2017
9
28 February 2018
7 March 2018
84
10
31 May 2018
7 June 2018
11
31 August 2018
7 September 2018
12
30 November 2018
7 December 2018
13
28 February 2019
7 March 2019
14
31 May 2019
7 June 2019
15
30 August 2019
6 September 2019
16
29 November 2019
6 December 2019
17
28 February 2020
6 March 2020
18
29 May 2020
5 June 2020
19
28 August 2020
4 September 2020
20
Exercise Date
Redemption Date
The outstanding Notional Amount of Certificates retained by Banca Nazionale del Lavoro S.p.A is not included
in the calculation of the Running Fee because Banca Nazionale del Lavoro S.p.A. is the Authorised Offeror of
the Certificates.
Protection Fees
In addition, the Protection Fees equal to 0.50 per cent. per annum are deducted from the value of the Dynamic
Basket on a Scheduled Custom Index Business Day t as described in the definition of Dynamic Basket Value.
The Running Fee (as described above) is also deducted from the value of the Dynamic Basket.
85
INDEX DISCLAIMER
None of the sponsor of the Index (the "Index" and the "Index Sponsor"), the index calculation agent (where
such party is not also the Index Sponsor, the "Index Calculation Agent") nor, where applicable, the Index
Administrator (the "Index Administrator") guarantee that there will be no errors or omissions in computing or
disseminating the Index.
The methodology of and rules governing the Index (the "Index Methodology") is based on certain assumptions,
certain pricing models and calculation methods adopted by the Index Sponsor, the Index Calculation Agent and,
where applicable, the Index Administrator, and may have certain inherent limitations. Information prepared on
the basis of different models, calculation methods or assumptions may yield different results. You have no
authority to use or reproduce the Index Methodology in any way, and neither BNP Paribas nor any of its
affiliates shall be liable for any loss whatsoever, whether arising directly or indirectly from the use of the Index
or Index Methodology or otherwise in connection therewith.
The Index Sponsor reserves the right to amend or adjust the Index Methodology from time to time in accordance
with the rules governing the Index and accepts no liability for any such amendment or adjustment. Neither the
Index Sponsor nor the Index Calculation Agent are under any obligation to continue the calculation, publication
or dissemination of the Index and accept no liability for any suspension or interruption in the calculation thereof
which is made in accordance with the rules governing the Index. None of the Index Sponsor, the Index
Calculation Agent nor, where applicable, the Index Administrator accept any liability in connection with the
publication or use of the level of the Index at any given time.
The Index Methodology embeds certain costs in the strategy which cover amongst other things, friction,
replication and repo costs in running the Index. The levels of such costs (if any) may vary over time in
accordance with market conditions as determined by the Index Sponsor acting in a commercially reasonable
manner.
BNP PARIBAS AND/OR ITS AFFILIATES MAY ACT IN A NUMBER OF DIFFERENT
CAPACITIES IN RELATION TO THE INDEX AND/OR PRODUCTS LINKED TO THE
INDEX, WHICH MAY INCLUDE, BUT NOT BE LIMITED TO, ACTING AS MARKETMAKER, HEDGING COUNTERPARTY, ISSUER OF COMPONENTS OF THE INDEX,
INDEX SPONSOR AND/OR INDEX CALCULATION AGENT. SUCH ACTIVITIES COULD
RESULT IN POTENTIAL CONFLICTS OF INTEREST THAT COULD INFLUENCE THE
PRICE OR VALUE OF THE CERTIFICATES.
86
USE OF PROCEEDS
The net proceeds of the issue of the Securities will become part of the general funds of BNPP B.V. Such
proceeds may be used to maintain positions in options or futures contracts or other hedging instruments.
87
GENERAL INFORMATION
1.
Authorisation
The issue of the Securities under the Programme was approved by resolutions of the Board of Directors
of BNPP B.V. dated 4 June 2015.
2.
Approval and Listing on the EuroTLX and Euronext Paris
This Prospectus has received visa n°15-521 on 8 October 2015 from the Autorité des marchés
financiers ("AMF").
Application will be made to EuroTLX and Euronext Paris for the Securities to be admitted to trading
on the EuroTLX and the regulated market of Euronext Paris and to be listed on the EuroTLX and
Euronext Paris. In respect of EuroTLX the listing fees in respect of the Securities will amount to
EUR 1,000 corresponding to the maximum listing fees known to the Issuer as at the Issue Date. In
respect of Euronext Paris the listing fees in respect of the Securities will amount to EUR 2,084
corresponding to the maximum listing fees known to the Issuer as at the Issue Date.
3.
Documents Available
From the date hereof and so long as the Securities are outstanding, copies of the following documents
will, when published, be available for inspection at the specified office for the time being in
Luxembourg of BNP Paribas Securities Services, Luxembourg Branch and at the specified office for
the time being in Paris of BNP Paribas Arbitrage S.N.C.:
(i)
copies of the Statuts of BNPP;
(ii)
copies of the constitutional documents of BNPP B.V. and BNPP;
(iii)
the audited annual consolidated financial statements of BNPP for the years ended 31
December 2013 and 31 December 2014;
(iv)
the audited annual non-consolidated financial statements of BNPP B.V. for the years ended
31 December 2013 and 31 December 2014 (BNPP B.V. does not produce consolidated annual
reports);
(v)
the most recently published audited annual consolidated financial statements and unaudited
semi-annual consolidated financial statements and quarterly results of BNPP;
(vi)
the most recently published unaudited interim financial statements of BNPP B.V. (being those
for the six month period ending 30 June 2015) (BNPP B.V. does not produce consolidated
annual reports);
(vii)
the BNPP 2013 Registration Document;
(viii)
the BNPP 2014 Registration Document;
(ix)
the First Update to the BNPP 2014 Registration Document;
(x)
the Second Update to the BNPP 2014 Registration Document;
(xi)
a copy of the Guarantee;
(xii)
the English Law Agency Agreement;
(xiii)
the Base Prospectus, the First Supplement, the Second Supplement and the Third Supplement;
and
88
(xiv)
this Prospectus.
In the case of (iii), (v), (vii), (viii), (ix) and (x) above, the documents are also available via BNPP's
website: www.invest.bnpparibas.com. In addition, copies of this Prospectus and any documents
incorporated by reference in this Prospectus are available via BNPP’s website: (https://ratesglobalmarkets.bnpparibas.com/gm/Public/LegalDocs.aspx).
4.
Material adverse change
There has been no material adverse change in the prospects of BNPP or the Group since 31 December
2014 (being the end of the last financial period for which audited financial statements have been
published).
There has been no material adverse change in the prospects of BNPP B.V. since 31 December 2014
(being the end of the last financial period for which audited financial statements have been published).
5.
Legal and Arbitration Proceedings
Save as disclosed below and on pages 167, 168, 219 and 220 of the BNPP 2014 Registration
Document, there have been no governmental, legal or arbitration proceedings (including any such
proceedings which are pending or threatened of which BNPP is aware), during the period covering at
least the twelve (12) months prior to the date of this Prospectus which may have, or have had in the
recent past, significant effects on BNPP and/or the Group's financial position or profitability.
There have been no governmental, legal or arbitration proceedings (including any such proceedings
which are pending or threatened of which BNPP B.V. is aware) during a period covering 12 months
prior to the date of this Prospectus which may have, or have had in the recent past significant effects
on BNPP B.V.'s financial position or profitability.
6.
Significant Change
There has been no significant change in the financial or trading position of BNPP or of the BNPP
Group since 30 June 2015 (being the end of the last financial period for which interim financial
statements have been published).
There has been no significant change in the financial or trading position of BNPP B.V. since 30 June
2015 (being the end of the last financial period for which interim financial statements have been
published).
7.
Material Contracts
Neither BNPP B.V nor BNPP has entered into contracts outside the ordinary course of its respective
business, which could result in the Issuer being under an obligation or entitlement that is material to the
Issuer's ability to meet its obligation to holders of Securities in respect of the Securities being issued.
8.
Board of Directors
The members of the Board of Directors of BNPP are displayed on pages 30 to 45 of the BNPP 2014
Registration Document and page 67 of the second update of the BNPP 2014 Registration Document
which are incorporated by reference herein.
9.
Conflicts of Interests
To the knowledge of BNPP, the duties owed by the members of the Board of Directors of BNPP do not
give rise to any potential conflicts of interests with such members’ private interests or other duties.
The Management Board of BNPP B.V. does not have potential conflicts of interests, material to the
issue of Securities, between any duties to BNPP B.V. and its interests or other duties.
89
10.
Auditors
BNPP:
The statutory auditors (Commissaires aux comptes) of BNPP are currently the following:
Deloitte & Associés was appointed as Statutory Auditor at the Annual General Meeting of 23 May
2012 for a six-year period expiring at the close of the Annual General Meeting called in 2018 to
approve the financial statements for the year ending 31 December 2017. The firm was first appointed
at the Annual General Meeting of 23 May 2006.
Deloitte & Associés is represented by Damien Leurent.
Deputy:
BEAS, 195, avenue Charles de Gaulle, Neuilly-sur-Seine (92), France, SIREN No. 315 172 445,
Nanterre trade and companies register.
PricewaterhouseCoopers Audit was appointed as Statutory Auditor at the Annual General Meeting of
23 May 2012 for a six-year period expiring at the close of the Annual General Meeting called in 2018
to approve the financial statements for the year ending 31 December 2017. The firm was first
appointed at the Annual General Meeting of 26 May 1994.
PricewaterhouseCoopers Audit is represented by Etienne Boris.
Deputy:
Anik Chaumartin, 63, Rue de Villiers, Neuilly-sur-Seine (92), France.
Mazars was appointed as Statutory Auditor at the Annual General Meeting of 23 May 2012 for a sixyear period expiring at the close of the Annual General Meeting called in 2018 to approve the financial
statements for the year ending 31 December 2017. The firm was first appointed at the Annual General
Meeting of 23 May 2000.
Mazars is represented by Hervé Hélias.
Deputy:
Michel Barbet-Massin, 61 Rue Henri-Regnault, Courbevoie (92), France.
Deloitte & Associés, PricewaterhouseCoopers Audit, and Mazars are registered as statutory auditors
with the Versailles Regional Association of statutory auditors, under the authority of the French
National Accounting Oversight Board (Haut Conseil du Commissariat aux Comptes).
BNPP B.V.:
In June 2012 Mazars Paardekooper Hoffman Accountants N.V. were appointed as the auditors of
BNPP B.V. Mazars Paardekooper Hoffman Accountants N.V. are independent public accountants in
the Netherlands registered with NBA (Nederlandse Beroepsorganisatie van Accountants).
The address of Mazars Paardekooper Hoffman Accountants N.V. is Delflandlaan 1, 1062 EA
Amsterdam.
The financial statements of BNPP B.V. for the year ending 31 December 2013 and 31 December 2014
have been audited without qualification by Mazars Paardekooper Hoffman Accountants N.V.
90
11.
Clearing Systems
The Securities shall be accepted for clearance through Euroclear and/or Clearstream, Luxembourg.
The address of Clearstream, Luxembourg is 42 avenue JF Kennedy, L-1855 Luxembourg.
The address of Euroclear Bank is 1 Boulevard du Roi Albert II B-1210 Brussels.
12.
Post-issuance information
Save as set out on page 50 of this Prospectus, the Issuer will not provide post-issuance information in
relation to any underlying in relation to the Securities.
13.
Dependence of BNPP upon other members of the BNPP Group
Subject to the following paragraph, BNPP is not dependent upon other members of the BNPP Group.
In April 2004, BNP Paribas SA began outsourcing IT Infrastructure Management Services to the BNP
Paribas Partners for Innovation (BP²I) joint venture set up with IBM France at the end of 2003. BP²I
provides IT Infrastructure Management Services for BNP Paribas SA and several BNP Paribas
subsidiaries in France (including BNP Paribas Personal Finance, BP2S, and BNP Paribas Cardiff),
Switzerland, and Italy. In mid- December 2011 BNP Paribas renewed its agreement with IBM France
for a period lasting until end-2017. At the end of 2012, the parties entered into an agreement to
gradually extend this arrangement to BNP Paribas Fortis as from 2013.
BP²I is under the operational control of IBM France. BNP Paribas has a strong influence over this
entity, which is 50/50 owned with IBM France. The BNP Paribas staff made available to BP²I make up
half of that entity’s permanent staff, its buildings and processing centres are the property of the Group,
and the governance in place provides BNP Paribas with the contractual right to monitor the entity and
bring it back into the Group if necessary.
ISFS, a fully-owned IBM subsidiary, handles IT Infrastructure Management for BNP Paribas
Luxembourg.
BancWest’s data processing operations are outsourced to Fidelity Information Services. Cofinoga
France’s data processing is outsourced to SDDC, a fully-owned IBM subsidiary.
14.
Capitalisation of BNPP and the BNP Paribas Group
Millions of Euros
BNP PARIBAS GROUP
31 December 2014
BNP PARIBAS GROUP
30 June 2015
Debt securities at fair value through profit or
lost
38,876
38,649
Other debt securities
74,322
69,713
Subordinated debt
Total
Medium
Debt.............
10,746
123,944
11,388
119,750
Medium and Long-Term Debt of which
unexpired term to maturity is more than one
year
and
Long-Term
91
Shareholders' Equity and Equivalents
Issued Capital ...........................................
Additional
paid-in
capital..............................................
Preferred
shares
and
equivalent
instruments……………..
Retained earnings ...................................
Unrealised or deferred gains and losses
attributable to shareholders
Undated participating subordinated notes ....
Undated Subordinated FRNs...........................
Total
Shareholders'
Equity
and
Equivalents
Minority Interest.............................................
Total Capitalization
92
2,492
24,479
2,492
24,297
6,589
6,468
47,895
6,091
50,434
6,585
222
222
1,849
89,617
1,868
92,366
4,141
4,005
217,702
216,121
RESPONSIBILITY STATEMENT
I hereby certify, having taken all reasonable care to ensure that such is the case, that, to the best of my
knowledge, the information contained in this Prospectus is in accordance with the facts and contains no
omission likely to affect its import.
The consolidated financial statements as of and for the year ended 31 December 2013 of BNPP were audited by
statutory auditors who issued an audit report which is incorporated by reference in the section entitled
"Documents Incorporated by Reference" of this Prospectus. This report contains an emphasis of matter
paragraph (paragraphe d’observations) referring, inter alia, to note 3.g to the consolidated financial statements
regarding the provision related to US dollar payments involving parties subject to US sanctions.
The consolidated financial statements as of and for the year ended 31 December 2014 of BNPP were audited by
statutory auditors who issued an audit report which is incorporated by reference in the section titled "Documents
Incorporated by Reference" of this Prospectus. This report contains an emphasis of matter paragraph
(paragraphe d'observations) referring to note 3.g to the consolidated financial statements which outlines the
costs related to the comprehensive settlement with US authorities.
The consolidated financial statements as of and for the six months ended 30 June 2015 of BNP Paribas were
reviewed by statutory auditors who issued a report which is incorporated by reference in this Prospectus. This
report contains an emphasis of matter paragraph (paragraphe d'observations).
Herengracht 537
1017 BV Amsterdam
The Netherlands
Represented by Cezar Nastasa in his capacity as authorised signatory
Dated 8 October 2015
BNP Paribas
16 boulevard des Italiens
75009 Paris
France
Represented by Michel Konczaty, Deputy Chief Operating Officer, in his capacity as authorised signatory
Dated 8 October 2015
In accordance with Articles L. 412-1 and L. 621-8 of the French Code monétaire et financier and with the
General Regulations (Règlement général) of the French Autorité des marchés financiers ("AMF"), in particular
Articles 211-1 to 216-1, the AMF has granted to this Prospectus the visa n°15-521 on 8 October 2015. This
93
Prospectus has been prepared by the Issuer and its signatories assume responsibility for it. In accordance with
Article L. 621-8-1-I of the French Code monétaire et financier, the visa has been granted following an
examination by the AMF of "whether the document is complete and comprehensible, and whether the
information in it is coherent". It does not imply that the AMF has verified the accounting and financial data set
out in it. This visa has been granted in accordance with Article 212-32 of the AMF's General Regulations,
setting out the terms of the securities being issued.
94
ISSUER
Herengracht 537
1017 BV Amsterdam
The Netherlands
GUARANTOR
BNP Paribas
16 boulevard des Italiens
75009 Paris
France
MANAGER
160-162 boulevard MacDonald
75019 Paris
France
AGENT
160-162 boulevard MacDonald
75019 Paris
France
6360300
95

Up to 1000000 EUR Certificates linked to the BNP Paribas

Transcription

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